Weak convergence of empirical Wasserstein type distances - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2018

Weak convergence of empirical Wasserstein type distances

Résumé

We estimate the Wasserstein type distance between two continuous distributions F and G on R such that the set {F = G} is a finite union of intervals, possibly empty or R. The positive cost function ρ is not necessarily symmetric and the sample may come from any joint distribution H on R 2 having marginals F and G with light enough tails with respect to ρ. The rates of weak convergence and the limiting distributions are derived in a wide class of situations including the classical distances W1 and W2. The key new assumption in the case F = G involves the behavior of ρ near 0, which we assume to be regularly varying with index ranging from 1 to 2. Rates are then also regularly varying with powers ranging from 1/2 to 1 also affecting the limiting distribution, in addition to H.
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Dates et versions

hal-01838700 , version 1 (13-07-2018)
hal-01838700 , version 2 (28-10-2023)

Identifiants

Citer

Philippe Berthet, Jean Claude Fort. Weak convergence of empirical Wasserstein type distances. 2018. ⟨hal-01838700v2⟩
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