Rates of convergence for partial mass problems

concentration of measure Kolmogorov distance optimal transportation plan partial mass transportation problem random quantization rate of convergence similarity trimmed probability trimming Wasserstein distance

Mathematics Subject Classification ID

Probabilistic measure theory (60A10) Convergence of probability measures (60B10)

Review text

Given two probability measures \(p\) and \(R\) on \(\mathbb{R}^k\) and \(\alpha\in [0,1]\), \(R\) is said to be a trimming of \(P\) if it is absolutely continuous with respect to \(P\) and the Radon-Nikodym derivative satisfies \(dR/dP\leq 1/(1-\alpha)\). The set of \(\alpha\)-trimmings of \(P\) is denoted by \(\mathcal{R}_{\alpha}(P)\). The authors consider the minimisation problem \[ \inf_{R\in\mathcal{R}_{\alpha}(P)} d(R,P_0), \] where \(P_0\) is a reference probability and \(d\) is either the Kolmogorov distance \(d_K\) or the \(L^p\)-Wasserstein distance \(W_p\). If they exist, the following probabilities are considered \[ P_{n,\alpha}:=\arg\,\min_{\mathcal{R}_{\alpha}(P_n)} d(R,P_0)\quad\text{and}\quad P_{\alpha}:=\arg\,\min_{\mathcal{R}_{\alpha}(P)} d(R,P_0), \] where \(P_n\) is the empirical measure on a sample. The authors obtain rates of convergence for \(W_p\): \[ W_p(\mathcal{R}_{\alpha}(P_n),P)=o_P\left(\frac{(\log n)^{\nu}}{n^{1/k}}\right), \quad \nu>1/k, \] and, for \(d_K\): \[ d_k(\mathcal{R}_{\alpha}(P_n),P)=o_P\left(\frac{(\log n)^{\nu}}{n}\right)^{\frac{k+1}{2k}}. \]

Recommendations

Cites work

Cited in

(8)

This page was built for publication: Rates of convergence for partial mass problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1950385)