A remark on the optimal transport between two probability measures sharing the same copula
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DOI: 10.1016/j.spl.2013.09.035
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References listed on IDEAS
- Puccetti, Giovanni & Scarsini, Marco, 2010.
"Multivariate comonotonicity,"
Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 291-304, January.
- Marco Scarsini & Giovanni Puccetti, 2010. "Multivariate comonotonicity," Post-Print hal-00528400, HAL.
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Cited by:
- Ghaffari, N. & Walker, S.G., 2021. "Parseval’s identity and optimal transport maps," Statistics & Probability Letters, Elsevier, vol. 170(C).
- Fred Espen Benth & Giulia Di Nunno & Dennis Schroers, 2022. "Copula measures and Sklar's theorem in arbitrary dimensions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1144-1183, September.
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Keywords
Optimal transport; Copula; Wasserstein distance; Inversion of the cumulative distribution function;All these keywords.
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