Abstract
Given two probabilities μ and ν on R, the Lancaster’s probabilities on R 2 are the probabilities
with margins μ and ν such that for all \(n \epsilon N, \int_R y^n(x, dy)\) and \( \int_R y^n L(x, dy)\) are polynomials with degree less or equal to n. This lecture reviews the properties of the convex set of these measures.
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Letac, G. (1997). The Lancaster’s Probabilities on R2 and Their Extreme Points. In: Beneš, V., Štěpán, J. (eds) Distributions with given Marginals and Moment Problems. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-5532-8_21
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DOI: https://doi.org/10.1007/978-94-011-5532-8_21
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