Regularity of center-outward distribution functions in non-convex domains

arXiv2303.16862MaRDI QIDQ6431322FDOQ6431322

Authors: Eustasio Del Barrio, Alberto González Sanz 

Publication date: 29 March 2023

Abstract: For a probability P in $R^d$ its center outward distribution function $F_{pm}$, introduced in Chernozhukov et al. (2017) and Hallin et al. (2021), is a new and successful concept of multivariate distribution function based on mass transportation theory. This work proves, for a probability P with density locally bounded away from zero and infinity in its support, the continuity of the center-outward map on the interior of the support of P and the continuity of its inverse, the quantile, $Q_{pm}$. This relaxes the convexity assumption in del Barrio et al. (2020). Some important consequences of this continuity are Glivenko-Cantelli type theorems and characterisation of weak convergence by the stability of the center-outward map.

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