A new proof, based on the duality theorem of linear programming, is given of a theorem of V. Strassen, which states essentially that the minimum distance between random variables with given distributions equals the Prokhorov distance of their distributions.
Publié le : 1974-02-14
Classification:
Prokhorov distance,
Ky Fan distance,
minimum distance between random variables,
duality theorem of linear programming,
60B10,
60B99
@article{1176996763,
author = {Schay, Geza},
title = {Nearest Random Variables with Given Distributions},
journal = {Ann. Probab.},
volume = {2},
number = {6},
year = {1974},
pages = { 163-166},
language = {en},
url = {http://dml.mathdoc.fr/item/1176996763}
}
Schay, Geza. Nearest Random Variables with Given Distributions. Ann. Probab., Tome 2 (1974) no. 6, pp. 163-166. http://gdmltest.u-ga.fr/item/1176996763/