Multivariate Brenier cumulative distribution functions and their application to non-parametric testing

MaRDI QIDQ6306582zbMATH OpenFDO

Authors Melf Boeckel, Alexandra Suvorikova, V. G. Spokoiny

Publication date 11 September 2018

Abstract: In this work we introduce a novel approach of construction of multivariate cumulative distribution functions, based on cyclical-monotone mapping of an original measure $muinmathcal{P}_2^{ac}(mathbb{R}^d)$ to some target measure $uinmathcal{P}_2^{ac}(mathbb{R}^d)$ , supported on a convex compact subset of $mathbb{R}^d$. This map is referred to as $u$-Brenier distribution function ($u$-BDF), whose counterpart under the one-dimensional setting $d=1$ is an ordinary CDF, with $u$ selected as $mathcalU[0,1]$, a uniform distribution on $[0,1]$. Following one-dimensional frame-work, a multivariate analogue of Glivenko-Cantelli theorem is provided. A practical applicability of the theory is then illustrated by the development of a non-parametric pivotal two-sample test, that is rested on $2$-Wasserstein distance.

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