Statistics Papers

Document Type

Journal Article

Date of this Version

1997

Publication Source

Theory of Probability & Its Applications

Volume

41

Issue

2

Start Page

199

Last Page

209

DOI

10.1137/S0040585X97975435

Abstract

Given probability distributions F1 , F2 , . . ., Fk on R and distinct directions θ1, . . ., θk, one may ask whether there is a probability measure μ on R2 such that the marginal of μ in direction θj is Fj, j = 1, . . ., k. For example for k = 3 we ask what the marginal of μ at 45° can be if the x and y marginals are each say standard normal? In probabilistic language, if X and Y are each standard normal with an arbitrary joint distribution, what can the distribution of X + Y or X - Y be? This type of question is familiar to probabilists and is also familiar (except perhaps in that μ is positive) to tomographers, but is difficult to answer in special cases. The set of distributions for Z = X - Y is a convex and compact set, C, which contains the single point mass Z ≡ 0 since X ≡ Y, standard normal, is possible. We show that Z can be 3-valued, Z=0, ±a for any a, each with positive probability, but Z cannot have any (genuine) two-point distribution. Using numerical linear programming we present convincing evidence that Z can be uniform on the interval [-ε, ε] for ε small and give estimates for the largest such ε. The set of all extreme points of C seems impossible to determine explicitly.

We also consider the more basic question of finding the extreme measures on the unit square with uniform marginals on both coordinates, and show that not every such measure has a support which has only one point on each horizontal or vertical line, which seems surprising.

Copyright/Permission Statement

Copyright © by SIAM. Unauthorized reproduction of this article is prohibited.

Keywords

marginal distributions, extreme point, Radon

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Date Posted: 27 November 2017

This document has been peer reviewed.