Convergence of the empirical measure in expected wasserstein distance: non-asymptotic explicit bounds in ℝd

DOI10.1051/PS/2023011MaRDI QIDQ6133929zbMATHOpenAlexFDO

Authors

Publication date 21 August 2023

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2209.00923

zbMATH Keywords

optimal transportationempirical measuresequence of i.i.d. random variables

Mathematics Subject Classification ID

Monte Carlo methods (65C05) (L^p)-limit theorems (60F25)

Abstract: We provide some non asymptotic bounds, with explicit constants, that measure the rate of convergence, in expected Wasserstein distance, of the empirical measure associated to an i.i.d. $N$-sample of a given probability distribution on $mathbb{R}^d$.

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Cited in

(13)

• Convergence of adapted empirical measures on \(\mathbb{R}^d\)
• Optimal Matching of Random Samples and Rates of Convergence of Empirical Measures
• Generalized Wasserstein distance and weak convergence of sublinear expectations
• On the Rate of Convergence of Empirical Measures in ∞-transportation Distance
• Approximation rate in Wasserstein distance of probability measures on the real line by deterministic empirical measures
• Non-monotone convergence in the quadratic Wasserstein distance
• Simple bounds for the convergence of empirical and occupation measures in 1-Wasserstein distance
• On the mean speed of convergence of empirical and occupation measures in Wasserstein distance
• Sharp asymptotic and finite-sample rates of convergence of empirical measures in Wasserstein distance
• Convergence and finite sample approximations of entropic regularized Wasserstein distances in Gaussian and RKHS settings
• Precise limit in Wasserstein distance for conditional empirical measures of Dirichlet diffusion processes
• On a class of modified Wasserstein distances induced by concave mobility functions defined on bounded intervals
• Bounds in \(L^1\) Wasserstein distance on the normal approximation of general M-estimators

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