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Kybernetika 35(3):367-381, 1999.

Two Dimensional Probabilities with a Given Conditional Structure.

Josef Štěpán and Daniel Hlubinka


Abstract:

A properly measurable set ${\cal P} \subset \mb{X} \times M_1(\mb{Y})$ (where $\mb{X}, \mb{Y}$ are Polish spaces and $M_1(\mb Y)$ is the space of Borel probability measures on $\mb Y$) is considered. Given a probability distribution $\lambda \in M_1(\mb X)$ the paper treats the problem of the existence of $\mb{X}\times\mb{Y}$-valued random vector $(\xi,\eta)$ for which ${\cal L}(\xi)=\lambda$ and ${\cal L}(\eta | \xi=x) \in {\cal P}_x$ $\lambda$-almost surely that possesses moreover some other properties such as ``${\cal L}(\xi,\eta)$ has the maximal possible support'' or ``${\cal L}(\eta | \xi=x)$'s are extremal measures in ${\cal P}_x$'s''. The paper continues the research started in [7].


AMS: 60B;


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BIB TeX

@article{kyb:1999:3:367-381,

author = {\v{S}t\v{e}p\'{a}n, Josef and Hlubinka, Daniel },

title = {Two Dimensional Probabilities with a Given Conditional Structure.},

journal = {Kybernetika},

volume = {35},

year = {1999},

number = {3},

pages = {367-381}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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