A remark on the optimal transport between two probability measures sharing the same copula

A. Alfonsi; B. Jourdain

doi:10.1016/j.spl.2013.09.035

A remark on the optimal transport between two probability measures sharing the same copula

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Abstract

We study the optimal transport between two probability measures on Rn sharing the same copula C. We investigate the optimality of the image of the probability measure d C by the vectors of pseudo-inverses of marginal distributions.

Original language	English
Pages (from-to)	131-134
Number of pages	4
Journal	Statistics and Probability Letters
Volume	84
Issue number	1
DOIs	https://doi.org/10.1016/j.spl.2013.09.035
Publication status	Published - 1 Jan 2014

Keywords

Copula
Inversion of the cumulative distribution function
Optimal transport
Wasserstein distance

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10.1016/j.spl.2013.09.035

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abstract = "We study the optimal transport between two probability measures on Rn sharing the same copula C. We investigate the optimality of the image of the probability measure d C by the vectors of pseudo-inverses of marginal distributions.",

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KW - Inversion of the cumulative distribution function

KW - Optimal transport

KW - Wasserstein distance

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A remark on the optimal transport between two probability measures sharing the same copula

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Keywords

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