Behavior of the Wasserstein distance between the empirical and the marginal distributions of stationary -dependent sequences

DOI10.3150/16-BEJ805MaRDI QIDQ527481zbMATH OpenOpenAlexFDO

Authors Jérôme Dedecker, Florence Merlevède

Publication date 11 May 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.00113

zbMATH Keywords

central limit theoremempirical processintermittencymoments inequalitiesstationary sequencesWasserstein distance

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Abstract: We study the Wasserstein distance of order 1 between the empirical distribution and the marginal distribution of stationary $alpha$-dependent sequences. We prove some moments inequalities of order p for any p $ge$ 1, and we give some conditions under which the central limit theorem holds. We apply our results to unbounded functions of expanding maps of the interval with a neutral fixed point at zero. The moment inequalities for the Wasserstein distance are similar to the well known von Bahr-Esseen or Rosenthal bounds for partial sums, and seem to be new even in the case of independent and identically distributed random variables.

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(11)

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• Empirical optimal transport on countable metric spaces: distributional limits and statistical applications
• Bures distance and transition probability for \(\alpha\)-CPD-kernels
• Almost sure invariance principle for the Kantorovich distance between the empirical and the marginal distributions of strong mixing sequences
• Simultaneous inference for autocovariances based on autoregressive sieve bootstrap
• The Berry–Esseen-type bound for the G-M estimator in a nonparametric regression model with α-mixing errors
• Empirical measures and random walks on compact spaces in the quadratic Wasserstein metric
• Distribution of Distances based Object Matching: Asymptotic Inference
• The asymptotic of the estimators in a semiparametric regression model under α -mixing errors
• Bounds in Wasserstein distance for locally stationary functional time series
• Optimal transport convergence of conditional distribution estimation for single-indexed locally stationary functional time series

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