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Softcover ISBN: | 978-1-4704-3650-6 |
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Book DetailsMemoirs of the American Mathematical SocietyVolume: 261; 2019; 126 ppMSC: Primary 60; 62
This work is devoted to the study of rates of convergence of the empirical measures \(\mu_{n} = \frac {1}{n} \sum_{k=1}^n \delta_{X_k}\), \(n \geq 1\), over a sample \((X_{k})_{k \geq 1}\) of independent identically distributed real-valued random variables towards the common distribution \(\mu\) in Kantorovich transport distances \(W_p\). The focus is on finite range bounds on the expected Kantorovich distances \(\mathbb{E}(W_{p}(\mu_{n},\mu ))\) or \(\big [ \mathbb{E}(W_{p}^p(\mu_{n},\mu )) \big ]^1/p\) in terms of moments and analytic conditions on the measure \(\mu \) and its distribution function. The study describes a variety of rates, from the standard one \(\frac {1}{\sqrt n}\) to slower rates, and both lower and upper-bounds on \(\mathbb{E}(W_{p}(\mu_{n},\mu ))\) for fixed \(n\) in various instances. Order statistics, reduction to uniform samples and analysis of beta distributions, inverse distribution functions, log-concavity are main tools in the investigation. Two detailed appendices collect classical and some new facts on inverse distribution functions and beta distributions and their densities necessary to the investigation.
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Table of Contents
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Chapters
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1. Introduction
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2. Generalities on Kantorovich transport distances
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3. The Kantorovich distance $W_1(\mu _n, \mu )$
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4. Order statistics representations of $W_p(\mu _n, \mu )$
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5. Standard rate for ${\mathbb {E}}(W_p^p(\mu _n,\mu ))$
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6. Sampling from log-concave distributions
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7. Miscellaneous bounds and results
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Appendices
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A. Inverse distribution functions
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B. Beta distributions
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Additional Material
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This work is devoted to the study of rates of convergence of the empirical measures \(\mu_{n} = \frac {1}{n} \sum_{k=1}^n \delta_{X_k}\), \(n \geq 1\), over a sample \((X_{k})_{k \geq 1}\) of independent identically distributed real-valued random variables towards the common distribution \(\mu\) in Kantorovich transport distances \(W_p\). The focus is on finite range bounds on the expected Kantorovich distances \(\mathbb{E}(W_{p}(\mu_{n},\mu ))\) or \(\big [ \mathbb{E}(W_{p}^p(\mu_{n},\mu )) \big ]^1/p\) in terms of moments and analytic conditions on the measure \(\mu \) and its distribution function. The study describes a variety of rates, from the standard one \(\frac {1}{\sqrt n}\) to slower rates, and both lower and upper-bounds on \(\mathbb{E}(W_{p}(\mu_{n},\mu ))\) for fixed \(n\) in various instances. Order statistics, reduction to uniform samples and analysis of beta distributions, inverse distribution functions, log-concavity are main tools in the investigation. Two detailed appendices collect classical and some new facts on inverse distribution functions and beta distributions and their densities necessary to the investigation.
-
Chapters
-
1. Introduction
-
2. Generalities on Kantorovich transport distances
-
3. The Kantorovich distance $W_1(\mu _n, \mu )$
-
4. Order statistics representations of $W_p(\mu _n, \mu )$
-
5. Standard rate for ${\mathbb {E}}(W_p^p(\mu _n,\mu ))$
-
6. Sampling from log-concave distributions
-
7. Miscellaneous bounds and results
-
Appendices
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A. Inverse distribution functions
-
B. Beta distributions