Detecting Complete and Joint Mixability
Journal of Computational and Applied Mathematics, 280, 174–187
19 Pages Posted: 7 Aug 2014 Last revised: 2 Jun 2015
Date Written: 2014
We introduce the Mixability Detection Procedure (MDP) to check whether a set of d distribution functions is jointly mixable at a given confidence level. The procedure is based on newly established results regarding the convergence rate of the minimal variance problem within the class of joint distribution functions with given marginals. The MDP is able to detect the complete mixability of an arbitrary set of distributions, even in those cases not covered by theoretical results. Stress-tests against borderline cases show that the MDP is fast and reliable.
Keywords: Joint mixability, Complete mixability, Degree of mixability, Variance reduction, Rearrangement algorithm.
JEL Classification: [AMS2010] 60E05, 65C50, 65C60, 62E17
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