Monge-Kantorovich depth, quantiles, ranks and signs

DOI10.1214/16-AOS1450zbMATH Open1426.62163arXiv1412.8434OpenAlexW4211211011MaRDI QIDQ524458FDOQ524458

Authors: Marc Henry, Victor Chernozhukov, Alfred Galichon, Marc Hallin 

Publication date: 2 May 2017

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We propose new concepts of statistical depth, multivariate quantiles, ranks and signs, based on canonical transportation maps between a distribution of interest on $R^d$ and a reference distribution on the $d$-dimensional unit ball. The new depth concept, called Monge-Kantorovich depth, specializes to halfspace depth in the case of spherical distributions, but, for more general distributions, differs from the latter in the ability for its contours to account for non convex features of the distribution of interest. We propose empirical counterparts to the population versions of those Monge-Kantorovich depth contours, quantiles, ranks and signs, and show their consistency by establishing a uniform convergence property for empirical transport maps, which is of independent interest.

Full work available at URL: https://arxiv.org/abs/1412.8434

Recommendations

• Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach
• The Monge-Kantorovich problem for distributions and applications
• Quantiles in abstract convex structures
• Quantizations of probability measures and preservation of the convex order
• scientific article; zbMATH DE number 2092229
• On Combinatorial Depth Measures
• Signed quasi-measures and dimension theory
• Statistical depth in abstract metric spaces
• Signed orders, choice probabilities, and linear polytopes
• Monge-Kantorovich norms on spaces of vector measures

zbMATH Keywords

multivariate signsstatistical depthempirical transport mapsuniform convergence of empirical transportvector quantilesvector ranks

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Nonparametric robustness (62G35) Directional data; spatial statistics (62H11)

Cited In (85)

• Directional bivariate quantiles: a robust approach based on the cumulative distribution function
• Optimal transport: discretization and algorithms
• Data science, big data and statistics
• Rank-based testing for semiparametric VAR models: a measure transportation approach
• Robust clustering tools based on optimal transportation
• Markov morphisms: a combined copula and mass transportation approach to multivariate quantiles
• Multivariate Rank-Based Distribution-Free Nonparametric Testing Using Measure Transportation
• Center-Outward R-Estimation for Semiparametric VARMA Models
• Cone distribution functions and quantiles for multivariate random variables
• A new concept of quantiles for directional data and the angular Mahalanobis depth
• Entropic optimal transport: geometry and large deviations
• On the continuity of center-outward distribution and quantile functions
• Central limit theorem and bootstrap procedure for Wasserstein's variations with an application to structural relationships between distributions
• Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach
• On general notions of depth for regression
• A conversation with Jon Wellner
• An Improved Central Limit Theorem and Fast Convergence Rates for Entropic Transportation Costs
• Multivariate ranks based on randomized lift-interdirections
• Marginal M-quantile regression for multivariate dependent data
• Boundary estimation from point clouds: algorithms, guarantees and applications
• Mathematical imaging and surface processing. Abstracts from the workshop held August 21--27, 2022
• Empirical regularized optimal transport: statistical theory and applications
• Tukey depths and Hamilton-Jacobi differential equations
• On the convergence rate of potentials of Brenier maps
• Quantitative stability of regularized optimal transport and convergence of Sinkhorn's algorithm
• Limit laws for empirical optimal solutions in random linear programs
• Choosing among notions of multivariate depth statistics
• Reduced form vector directional quantiles
• A note on the regularity of optimal-transport-based center-outward distribution and quantile functions
• Center-outward quantiles and the measurement of multivariate risk
• Bayesian multivariate quantile regression using dependent Dirichlet process prior
• Combining dependent tests based on data depth with applications to the two-sample problem for data of arbitrary types
• Spatial quantiles on the hypersphere
• Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA
• A weighted localization of halfspace depth and its properties
• On some connections between Esscher's tilting, saddlepoint approximations, and optimal transportation: a statistical perspective
• Flexible quantile contour estimation for multivariate functional data: beyond convexity
• Integrated quantile functions: properties and applications
• Gaussian processes with multidimensional distribution inputs via optimal transport and Hilbertian embedding
• Functional, randomized and smoothed multivariate quantile regions
• Coordinate-wise transformation of probability distributions to achieve a Stein-type identity
• A simple R-estimation method for semiparametric duration models
• Halfspace depth for general measures: the ray basis theorem and its consequences
• Noncrossing structured additive multiple-output Bayesian quantile regression models
• Flexible integrated functional depths
• Vector copulas
• Stability of entropic optimal transport and Schrödinger bridges
• Stability of Schrödinger potentials and convergence of Sinkhorn's algorithm
• Wide consensus aggregation in the Wasserstein space. Application to location-scatter families
• Independent Nonlinear Component Analysis
• On multivariate quantile regression analysis
• Distribution-Free Consistent Independence Tests via Center-Outward Ranks and Signs
• On universally consistent and fully distribution-free rank tests of vector independence
• Multivariate goodness-of-fit tests based on Wasserstein distance
• Incomplete interdirections and lift-interdirections
• Multivariate ranks and quantiles using optimal transport: consistency, rates and nonparametric testing
• Two-sample goodness-of-fit tests on the flat torus based on Wasserstein distance and their relevance to structural biology
• Another look at halfspace depth: flag halfspaces with applications
• Quantile-constrained Wasserstein projections for robust interpretability of numerical and machine learning models
• Empirical optimal transport between different measures adapts to lower complexity
• On distributional autoregression and iterated transportation
• On the finite-sample performance of measure-transportation-based multivariate rank tests
• Plugin estimation of smooth optimal transport maps
• Dimension-agnostic inference using cross U-statistics
• A conversation with Marc Hallin
• Affine invariant integrated rank-weighted statistical depth: properties and finite sample analysis
• Stochastic hyperplane-based ranks and their use in multivariate portmanteau tests
• Eikonal depth: an optimal control approach to statistical depths
• Regularity of center-outward distribution functions in non-convex domains
• Empirical Dynamic Quantiles for Visualization of High-Dimensional Time Series
• Distribution-free tests of multivariate independence based on center-outward quadrant, Spearman, Kendall, and van der Waerden statistics
• Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements
• Empirical optimal transport under estimated costs: distributional limits and statistical applications
• Limit theorems for entropic optimal transport maps and Sinkhorn divergence
• A survey of some recent developments in measures of association
• Monotone discretizations of levelset convex geometric PDEs
• A novel method for nonparametric statistical inference for niche overlap in multiple species
• Nonlinear inverse optimal transport: identifiability of the transport cost from its marginals and optimal values
• Explicit bivariate simplicial depth
• Statistical inference with regularized optimal transport
• A condition for the identification of multivariate models with binary instruments
• Model-based statistical depth with applications to functional data
• A review on design inspired subsampling for big data
• Geometry of vectorial martingale optimal transportations and duality
• Multiple-output quantile regression neural network

This page was built for publication: Monge-Kantorovich depth, quantiles, ranks and signs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q524458)