Related papers: On Adaptive Confidence Sets for the Wasserstein Di…
In this paper, we address the problem of estimating a multidimensional density $f$ by using indirect observations from the statistical model $Y=X+\varepsilon$. Here, $\varepsilon$ is a measurement error independent of the random vector $X$…
Recently, a Wasserstein-type distance for Gaussian mixture models has been proposed. However, that framework can only be generalized to identifiable mixtures of general elliptically contoured distributions whose components come from the…
The quantization problem aims to find the best possible approximation of probability measures on ${\mathbb{R}}^d$ using finite, discrete measures. The Wasserstein distance is a typical choice to measure the quality of the approximation.…
Confidence bands are confidence sets for an unknown function f, containing all functions within some sup-norm distance of an estimator. In the density estimation, regression, and white noise models, we consider the problem of constructing…
Considering two random variables with different laws to which we only have access through finite size iid samples, we address how to reweight the first sample so that its empirical distribution converges towards the true law of the second…
The Wasserstein distance between two probability measures on a metric space is a measure of closeness with applications in statistics, probability, and machine learning. In this work, we consider the fundamental question of how quickly the…
We consider machine learning, particularly regression, using locally-differentially private datasets. The Wasserstein distance is used to define an ambiguity set centered at the empirical distribution of the dataset corrupted by local…
The Sliced-Wasserstein distance (SW) is a computationally efficient and theoretically grounded alternative to the Wasserstein distance. Yet, the literature on its statistical properties -- or, more accurately, its generalization properties…
We obtain explicit $p$-Wasserstein distance error bounds between the distribution of the multi-parameter MLE and the multivariate normal distribution. Our general bounds are given for possibly high-dimensional, independent and identically…
Gromov--Wasserstein (GW) distances compare graphs, shapes, and point clouds through internal distances, without requiring a common coordinate system. This invariance is powerful, but discrete GW is a nonconvex quadratic optimal transport…
This paper investigates the size performance of Wald tests for CAViaR models (Engle and Manganelli, 2004). We find that the usual estimation strategy on test statistics yields inaccuracies. Indeed, we show that existing density estimation…
Learning conditional densities and identifying factors that influence the entire distribution are vital tasks in data-driven applications. Conventional approaches work mostly with summary statistics, and are hence inadequate for a…
Consider the empirical measure, $\hat{\mathbb{P}}_N$, associated to $N$ i.i.d. samples of a given probability distribution $\mathbb{P}$ on the unit interval. For fixed $\mathbb{P}$ the Wasserstein distance between $\hat{\mathbb{P}}_N$ and…
We introduce \emph{local Urysohn width}, a complexity measure for classification problems on metric spaces. Unlike VC dimension, fat-shattering dimension, and Rademacher complexity, which characterize the richness of hypothesis…
Bayesian networks are one of the most widely used classes of probabilistic models for risk management and decision support because of their interpretability and flexibility in including heterogeneous pieces of information. In any applied…
Computational difficulty of quadratic matching and the Gromov-Wasserstein distance has led to various approximation and relaxation schemes. One of such methods, relying on the notion of distance profiles, has been widely used in practice,…
The problem of quickest detection of a change in the distribution of a sequence of independent observations is considered. It is assumed that the pre-change distribution is known (accurately estimated), while the only information about the…
The Wasserstein metric is an important measure of distance between probability distributions, with applications in machine learning, statistics, probability theory, and data analysis. This paper provides upper and lower bounds on…
Optimal transport has recently proved to be a useful tool in various machine learning applications needing comparisons of probability measures. Among these, applications of distributionally robust optimization naturally involve Wasserstein…
Distributionally robust optimization (DRO) is an effective approach for data-driven decision-making in the presence of uncertainty. Geometric uncertainty due to sampling or localized perturbations of data points is captured by Wasserstein…