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Zapiski Nauchnykh Seminarov POMI, 2017, Volume 457, Pages 226–264
(Mi znsl6444)
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This article is cited in 19 scientific papers (total in 19 papers)
On optimal matching of Gaussian samples
M. Ledouxab a Institute de Mathématique de Toulouse, Université de Toulouse–Paul-Sabatier, F-31062 Toulouse, France
b Institut Universitaire de France, Paris
Abstract:
Let $X_1,\dots,X_n$ be independent random variables with common distribution the standard Gaussian measure $\mu$ on $\mathbb R^2$, and let $\mu_n=\frac1n\sum_{i=1}^n\delta_{X_i}$ be the associated empirical measure. We show that, for some numerical constant $C>0$,
$$
\frac1C\frac{\log n}n\leq\mathbb E(\mathrm W_2^2(\mu_n,\mu))\leq C\frac{(\log n)^2}n
$$
where $\mathrm W_2$ is the quadratic Kantorovich metric, and conjecture that the left-hand side provides the correct order. The proof is based on the recent PDE and mass transportation approach developed by L. Ambrosio, F. Stra and D. Trevisan.
Key words and phrases:
optimal matching, Ajtai–Komlós–Tusnády theorem, optimal transport, heat kernel, Gaussian sample.
Received: 20.09.2017
Citation:
M. Ledoux, “On optimal matching of Gaussian samples”, Probability and statistics. Part 25, Zap. Nauchn. Sem. POMI, 457, POMI, St. Petersburg, 2017, 226–264; J. Math. Sci. (N. Y.), 238:4 (2019), 495–522
Linking options:
https://www.mathnet.ru/eng/znsl6444 https://www.mathnet.ru/eng/znsl/v457/p226
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Abstract page: | 442 | Full-text PDF : | 236 | References: | 44 |
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