On the stochastic convergence of representations based on Wasserstein metrics (Q2365737)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the stochastic convergence of representations based on Wasserstein metrics |
scientific article |
Statements
On the stochastic convergence of representations based on Wasserstein metrics (English)
0 references
29 June 1993
0 references
Under some regularity conditions an optimal coupling of two probability measures on a Hilbert space can be found in the form \((X,H(X))\) for some monotone function \(H\). It is shown that convergence of \(P_ n\) to \(P\) in distribution implies a.s. convergence of the optimal coupling functions \(H_ n\) in the finite-dimensional case. For the infinite-dimensional case a counterexample is given.
0 references
stochastic convergence of representations
0 references
Skorokhod's representation theorem
0 references
increasing functions
0 references
optimal coupling
0 references
