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Sets of random variables with a given uncorrelation structure

✍ Scribed by Sofiya Ostrovska


Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
105 KB
Volume
55
Category
Article
ISSN
0167-7152

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πŸ“œ SIMILAR VOLUMES


Bounds for optimal stopping values of de
✍ Alfred MΓΌller πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 92 KB

We consider the problem of optimal stopping of a ÿnite sequence of dependent random variables. We explicitly determine the maximum of the stopping value within the Frà echet class of all multivariate distributions with given continuous marginals. We show that the maximum is attained for a shu e of m