Related papers: Transport Dependency: Optimal Transport Based Depe…
Distance covariance is a measure of dependence between two random variables that take values in two, in general different, metric spaces, see Sz\'ekely, Rizzo and Bakirov (2007) and Lyons (2013). It is known that the distance covariance,…
In this paper, we propose a novel Euclidean-distance-based coefficient, named differential distance correlation, to measure the strength of dependence between a random variable $ Y \in \mathbb{R} $ and a random vector $ \boldsymbol{X} \in…
Testing conditional independence between two random vectors given a third is a fundamental and challenging problem in statistics, particularly in multivariate nonparametric settings due to the complexity of conditional structures. We…
On the basis of the dynamical interpretation of Monte Carlo simulations, we discuss the relation of the equilibrium relaxation time, the susceptibility and the statistical error. We introduce a new quantity called {\it the statistical…
(To appear in The American Statistician.) Distance covariance (Sz\'ekely, Rizzo, and Bakirov, 2007) is a fascinating recent notion, which is popular as a test for dependence of any type between random variables $X$ and $Y$. This approach…
We study an approximate controllability problem for the continuity equation and its application to constructing transport maps with normalizing flows. Specifically, we construct time-dependent controls $\theta=(w, a, b)$ in the vector field…
The paper proves transportation inequalities for probability measures on spheres for the Wasserstein metrics with respect to cost functions that are powers of the geodesic distance. Let $\mu$ be a probability measure on the sphere ${\bf…
Given a database and a target attribute of interest, how can we tell whether there exists a functional, or approximately functional dependence of the target on any set of other attributes in the data? How can we reliably, without bias to…
We investigate the relative information content of six measures of dependence between two random variables $X$ and $Y$ for large or extreme events for several models of interest for financial time series. The six measures of dependence are…
Distance covariance is a quantity to measure the dependence of two random vectors. We show that the original concept introduced and developed by Sz\'{e}kely, Rizzo and Bakirov can be embedded into a more general framework based on symmetric…
Identifying dependency between two random variables is a fundamental problem. The clear interpretability and ability of a procedure to provide information on the form of possible dependence is particularly important when exploring…
We prove quantitative bounds on the stability of optimal transport maps and Kantorovich potentials from a fixed source measure $\rho$ under variations of the target measure $\mu$, when the cost function is the squared Riemannian distance on…
Measuring dependence between two events, or equivalently between two binary random variables, amounts to expressing the dependence structure inherent in a $2\times 2$ contingency table in a real number between $-1$ and $1$. Countless such…
Optimal transport (OT) theory focuses, among all maps $T:\mathbb{R}^d\rightarrow \mathbb{R}^d$ that can morph a probability measure onto another, on those that are the ``thriftiest'', i.e. such that the averaged cost $c(x, T(x))$ between…
Flow-based methods for sampling and generative modeling use continuous-time dynamical systems to represent a {transport map} that pushes forward a source measure to a target measure. The introduction of a time axis provides considerable…
We commonly encounter the problem of identifying an optimally weight adjusted version of the empirical distribution of observed data, adhering to predefined constraints on the weights. Such constraints often manifest as restrictions on the…
It is well-known that plug-in statistical estimation of optimal transport suffers from the curse of dimensionality. Despite recent efforts to improve the rate of estimation with the smoothness of the problem, the computational complexity of…
We establish novel quantitative stability results for optimal transport problems with respect to perturbations in the target measure. We provide explicit bounds on the stability of optimal transport potentials and maps, which are relevant…
We propose a coefficient of conditional dependence between two random variables $Y$ and $Z$ given a set of other variables $X_1,\ldots,X_p$, based on an i.i.d. sample. The coefficient has a long list of desirable properties, the most…
In this short note, we show that given a cost function $c$, any coupling $\pi$ of two probability measures where the second is a discrete measure can be associated to a certain bipartite graph containing a perfect matching, based on the…