Why the 1-Wasserstein distance is the area between the two marginal CDFs
Statistics Theory
2021-11-08 v1 Probability
Statistics Theory
Abstract
We elucidate why the 1-Wasserstein distance coincides with the area between the two marginal cumulative distribution functions (CDFs). We first describe the Wasserstein distance in terms of copulas, and then show that with the Euclidean distance is attained with the copula. Two random variables whose dependence is given by the copula manifest perfect (positive) dependence. If we express the random variables in terms of their CDFs, it is intuitive to see that the distance between two such random variables coincides with the area between the two CDFs.
Keywords
Cite
@article{arxiv.2111.03570,
title = {Why the 1-Wasserstein distance is the area between the two marginal CDFs},
author = {Marco De Angelis and Ander Gray},
journal= {arXiv preprint arXiv:2111.03570},
year = {2021}
}
Comments
6 pages, 1 figure, a pedagogical note