Tangential Wasserstein Projections

Florian Gunsilius, Meng Hsuan Hsieh and Myung Jin Lee

Papers from arXiv.org

Abstract: We develop a notion of projections between sets of probability measures using the geometric properties of the 2-Wasserstein space. It is designed for general multivariate probability measures, is computationally efficient to implement, and provides a unique solution in regular settings. The idea is to work on regular tangent cones of the Wasserstein space using generalized geodesics. Its structure and computational properties make the method applicable in a variety of settings, from causal inference to the analysis of object data. An application to estimating causal effects yields a generalization of the notion of synthetic controls to multivariate data with individual-level heterogeneity, as well as a way to estimate optimal weights jointly over all time periods.

Date: 2022-07, Revised 2022-08
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2207.14727 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2207.14727

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().