The Annals of Probability

Nearest Random Variables with Given Distributions

Geza Schay

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Abstract

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.

Article information

Source
Ann. Probab., Volume 2, Number 1 (1974), 163-166.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176996763

Digital Object Identifier
doi:10.1214/aop/1176996763

Mathematical Reviews number (MathSciNet)
MR353396

Zentralblatt MATH identifier
0292.60011

JSTOR
links.jstor.org

Subjects
Primary: 60B10: Convergence of probability measures
Secondary: 60B99: None of the above, but in this section

Keywords
Prokhorov distance Ky Fan distance minimum distance between random variables duality theorem of linear programming

Citation

Schay, Geza. Nearest Random Variables with Given Distributions. Ann. Probab. 2 (1974), no. 1, 163--166. doi:10.1214/aop/1176996763. https://projecteuclid.org/euclid.aop/1176996763


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