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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Résumé

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.

langue originale	Anglais
Pages (de - à)	131-134
Nombre de pages	4
journal	Statistics and Probability Letters
Volume	84
Numéro de publication	1
Les DOIs	https://doi.org/10.1016/j.spl.2013.09.035
état	Publié - 1 janv. 2014

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10.1016/j.spl.2013.09.035

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title = "A remark on the optimal transport between two probability measures sharing the same copula",

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.",

keywords = "Copula, Inversion of the cumulative distribution function, Optimal transport, Wasserstein distance",

author = "A. Alfonsi and B. Jourdain",

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KW - Copula

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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