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

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  • Alfonsi, A.
  • Jourdain, B.

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.

Suggested Citation

  • Alfonsi, A. & Jourdain, B., 2014. "A remark on the optimal transport between two probability measures sharing the same copula," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 131-134.
    • Handle: RePEc:eee:stapro:v:84:y:2014:i:c:p:131-134
    DOI: 10.1016/j.spl.2013.09.035
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    References listed on IDEAS

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    1. Puccetti, Giovanni & Scarsini, Marco, 2010. "Multivariate comonotonicity," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 291-304, January.
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    Cited by:

    1. 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.
    2. Ghaffari, N. & Walker, S.G., 2021. "Parseval’s identity and optimal transport maps," Statistics & Probability Letters, Elsevier, vol. 170(C).

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