Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, March 09, 2022
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  Measuring association with Wasserstein distances

Abstract:   Let π ∈ Π(μ, ν) be a coupling between two probability measures μ and ν on a Polish space. In this talk we propose and study a class of nonparametric measures of association between μ and ν, which we call Wasserstein correlation coefficients. These coefficients are based on the Wasserstein distance between ν and the disintegration of π with respect to the first coordinate. We also establish basic statistical properties of this new class of measures: we develop a statistical theory for strongly consistent estimators and determine their convergence rate in the case of compactly supported measures μ and ν. Throughout our analysis we make use of the so-called adapted/bicausal Wasserstein distance, in particular we rely on results established in [Backhoff, Bartl, Beiglböck, Wiesel. Estimating processes in adapted Wasserstein distance. 2020]. Our approach applies to probability laws on general Polish spaces.

Files: 7666_Michigan.pdf

Speaker:  Johannes Wiesel
Institution:  Columbia University

Event Organizer:     


Edit this event (login required).
Add new event (login required).
For access requests and instructions, contact

Back to previous page
Back to UM Math seminars/events page.