Symmetrization of binary random variables
Kagan, Abram ; Mallows, Colin L. ; Shepp, Larry A. ; Vanderbei, Robert J. ; Vardi, Yehuda
Bernoulli, Tome 5 (1999) no. 6, p. 1013-1020 / Harvested from Project Euclid
A random variable [math] is called an independent symmetrizer of a given random variable [math] if (a) it is independent of [math] and (b) the distribution of [math] is symmetric about [math] . In cases where the distribution of [math] is symmetric about its mean, it is easy to see that the constant random variable [math] is a minimum-variance independent symmetrizer. Taking [math] to have the same distribution as [math] clearly produces a symmetric sum, but it may not be of minimum variance. We say that a random variable [math] is symmetry resistant if the variance of any symmetrizer, [math] , is never smaller than the variance of [math] . Let [math] be a binary random variable: [math] and [math] where [math] , [math] , and [math] . We prove that such a binary random variable is symmetry resistant if (and only if) [math] . Note that the minimum variance as a function of [math] is discontinuous at [math] . Dropping the independence assumption, we show that the minimum variance reduces to [math] , which is a continuous function of [math] .
Publié le : 1999-12-14
Classification:  binary random variables,  linear programming,  symmetrization
@article{1143122300,
     author = {Kagan, Abram and Mallows, Colin L. and Shepp, Larry A. and Vanderbei, Robert J. and Vardi, Yehuda},
     title = {Symmetrization of binary random variables},
     journal = {Bernoulli},
     volume = {5},
     number = {6},
     year = {1999},
     pages = { 1013-1020},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1143122300}
}
Kagan, Abram; Mallows, Colin L.; Shepp, Larry A.; Vanderbei, Robert J.; Vardi, Yehuda. Symmetrization of binary random variables. Bernoulli, Tome 5 (1999) no. 6, pp.  1013-1020. http://gdmltest.u-ga.fr/item/1143122300/