On the Stochastic Convergence of Representations Based on Wasserstein Metrics
Tuero, Araceli
Ann. Probab., Tome 21 (1993) no. 4, p. 72-85 / Harvested from Project Euclid
Suppose that $P$ and $P_n, n \in \mathscr{N}$, are probabilities on a real, separable Hilbert space, $V$. It is known that if $P$ satisfies some regularity conditions and $X$ is such that $P_X = P$, then there exist mappings $H_n: V \rightarrow V$, such that $P_{H_n(X)} = P_n$ and the Wasserstein distance between $P_n$ and $P$ coincides with $(\int\|x - H_n(x)\|^2 dP)^{1/2}, n \in \mathscr{N}$. In this paper we prove that the weak convergence of $\{P_n\}$ to $P$ is enough to ensure that $\{H_n(X)\}$ converges to $X$ in measure, and that, if $V = \mathcal{R}^p$, then the convergence is also a.e. This property seems to be characteristic of finite-dimensional spaces, because we include an example, with $V$ infinite-dimensional and $P$ Gaussian, where a.e. convergence does not hold.
Publié le : 1993-01-14
Classification:  Wasserstein distance,  stochastic convergence of representations,  Skorohod's representation theorem,  Hilbert spaces,  weak convergence,  increasing functions,  60E05,  60B10
@article{1176989394,
     author = {Tuero, Araceli},
     title = {On the Stochastic Convergence of Representations Based on Wasserstein Metrics},
     journal = {Ann. Probab.},
     volume = {21},
     number = {4},
     year = {1993},
     pages = { 72-85},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176989394}
}
Tuero, Araceli. On the Stochastic Convergence of Representations Based on Wasserstein Metrics. Ann. Probab., Tome 21 (1993) no. 4, pp.  72-85. http://gdmltest.u-ga.fr/item/1176989394/