On a class of norms generated by nonnegative integrable distributions

DOI10.1515/DEMO-2019-0014MaRDI QIDQ2178944zbMATH OpenOpenAlexFDO

Authors Michael Falk, Gilles Stupfler

Publication date 12 May 2020

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1808.08200

zbMATH Keywords

normcharacteristic functionempirical distribution functionmultivariate distributionWasserstein metricHausdorff metric\(D\)-norm

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)

Abstract: We show that any distribution function on $mathbb{R}^d$ with nonnegative, nonzero and integrable marginal distributions can be characterized by a norm on $mathbb{R}^{d+1}$, called $F$-norm. We characterize the set of $F$-norms and prove that pointwise convergence of a sequence of $F$-norms to an $F$-norm is equivalent to convergence of the pertaining distribution functions in the Wasserstein metric. On the statistical side, an $F$-norm can easily be estimated by an empirical $F$-norm, whose consistency and weak convergence we establish. The concept of $F$-norms can be extended to arbitrary random vectors under suitable integrability conditions fulfilled by, for instance, normal distributions. The set of $F$-norms is endowed with a semigroup operation which, in this context, corresponds to ordinary convolution of the underlying distributions. Limiting results such as the central limit theorem can then be formulated in terms of pointwise convergence of products of $F$-norms. We conclude by showing how, using the geometry of $F$-norms, we may characterize nonnegative integrable distributions in $mathbb{R}^d$ by simple compact sets in $mathbb{R}^{d+1}$. We then relate convergence of those distributions in the Wasserstein metric to convergence of these characteristic sets with respect to Hausdorff distances.

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(2)

• The space of \(D\)-norms revisited
• The min-characteristic function: characterizing distributions by their min-linear projections

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