A remark on the optimal transport between two probability measures sharing the same copula

A. Alfonsi and B. Jourdain

Statistics & Probability Letters, 2014, vol. 84, issue C, 131-134

Abstract: We study the optimal transport between two probability measures on Rn sharing the same copula C. We investigate the optimality of the image of the probability measure dC by the vectors of pseudo-inverses of marginal distributions.

Keywords: Optimal transport; Copula; Wasserstein distance; Inversion of the cumulative distribution function (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:84:y:2014:i:c:p:131-134

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DOI: 10.1016/j.spl.2013.09.035

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