On optimal stationary couplings between stationary processes

Details On optimal stationary couplings between stationary processes On optimal stationary couplings between stationary processes

2011-08-20

arxiv.org/abs/1108.4086v1

Mathematics

Probability

21 pages

Scientific paper

By a classical result of Gray, Neuhoff and Shields (1975) the $\bar\varrho$ distance between stationary processes is identified with an optimal stationary coupling problem of the corresponding stationary measures on the infinite product spaces. This is a modification of the optimal coupling problem from Monge--Kantorovich theory. In this paper we derive some general classes of examples of optimal stationary couplings which allow to calculate the $\bar\varrho$ distance in these cases in explicit form. We also extend the $\bar\varrho$ distance to random fields and to general nonmetric distance functions and give a construction method for optimal stationary $\bar c$-couplings. Our assumptions need in this case a geometric positive curvature condition.

Affiliated with

Also associated with

No associations

Rating

On optimal stationary couplings between stationary processes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On optimal stationary couplings between stationary processes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On optimal stationary couplings between stationary processes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-244365