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Choosing joint distributions so that the variance of the sum is small
Authors:Martin Knott  Cyril Smith
Affiliation:Statistics Department, London School of Economics and Political Science, Houghton Street, London WC2A2AE, UK
Abstract:The paper considers how to choose the joint distribution of several random variables each with a given marginal distribution so that their sum has a variance as small as possible. A theorem is given that allows the solution of this and of related problems for normal random variables. Several specific applications are given. Additional results are provided for radially symmetric joint distributions of three random variables when the sum is identically zero.
Keywords:60E99   62H99
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