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Moment Problems Related to the Theory of Probability Metrics: Relations Between Compound and Primary Distances

  • Svetlozar T. Rachev
  • Lev B. Klebanov
  • Stoyan V. Stoyanov
  • Frank J. Fabozzi
Chapter

Abstract

Explore the general relations between compound and primary probability distances that are similar to the relations between compound and simple probability distances

References

  1. Billingsley P (1999) Convergence of probability measures, 2nd edn. Wiley, New YorkGoogle Scholar
  2. Karlin S, Studden W (1966) Tchebycheff systems: with applications in analysis and statistics. Wiley, New YorkGoogle Scholar
  3. Kemperman JHB (1983) On the role of duality in the theory of moments. Semi-infinite programming and applications. In: Lecture notes economic mathematical system, vol 215. Springer, Berlin, pp 63–92Google Scholar
  4. Rogosinky WW (1958) Moments of non-negative mass. Proc R Soc 245A:1–27Google Scholar

Copyright information

© Springer Science+Business Media, LLC 2013

Authors and Affiliations

  • Svetlozar T. Rachev
    • 1
    • 2
  • Lev B. Klebanov
    • 3
  • Stoyan V. Stoyanov
    • 4
  • Frank J. Fabozzi
    • 5
  1. 1.Department of Applied Mathematics and Statistics College of BusinessStony Brook UniversityStony BrookUSA
  2. 2.FinAnalyticaNew YorkUSA
  3. 3.Department of Probability and StatisticsCharles UniversityPragueCzech Republic
  4. 4.EDHEC Business School EDHEC-Risk InstituteSingaporeSingapore
  5. 5.EDHEC Business School EDHEC-Risk InstituteNiceFrance

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