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arxiv: 1108.4086 · v1 · pith:2T2XNFEInew · submitted 2011-08-20 · 🧮 math.PR

On optimal stationary couplings between stationary processes

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

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