English

On optimal stationary couplings between stationary processes

Probability 2011-08-23 v1

Abstract

By a classical result of Gray, Neuhoff and Shields (1975) the ϱˉ\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 ϱˉ\bar\varrho distance in these cases in explicit form. We also extend the ϱˉ\bar\varrho distance to random fields and to general nonmetric distance functions and give a construction method for optimal stationary cˉ\bar c-couplings. Our assumptions need in this case a geometric positive curvature condition.

Keywords

Cite

@article{arxiv.1108.4086,
  title  = {On optimal stationary couplings between stationary processes},
  author = {Ludger Rueschendorf and Tomonari Sei},
  journal= {arXiv preprint arXiv:1108.4086},
  year   = {2011}
}

Comments

21 pages

R2 v1 2026-06-21T18:53:07.034Z