A prelude to statistics in Wasserstein metric spaces
Chon Van Le and Uyen Hoang Pham
Purpose - This paper aims mainly at introducing applied statisticians and econometricians to the current research methodology with non-Euclidean data sets. Specifically, it provides the basis and rationale for statistics in Wasserstein space, where the metric on probability measures is taken as a Wasserstein metric arising from optimal transport theory. Design/methodology/approach - The authors spell out the basis and rationale for using Wasserstein metrics on the data space of (random) probability measures. Findings - In elaborating the new statistical analysis of non-Euclidean data sets, the paper illustrates the generalization of traditional aspects of statistical inference following Frechet's program. Originality/value - Besides the elaboration of research methodology for a new data analysis, the paper discusses the applications of Wasserstein metrics to the robustness of financial risk measures.
Year of publication: |
2024
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Authors: | Chon Van Le ; Uyen Hoang Pham |
Published in: |
Asian journal of economics and banking : AJEB. - Bingley : Emerald Publishing Limited, ISSN 2615-9821, ZDB-ID 3062819-2. - Vol. 8.2024, 1, p. 54-66
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Subject: | Frechet mean sets | Histogram data sets | Optimal transport | Random probability measures | Robustness of financial risk measures | Wasserstein metrics | Wasserstein sampling spaces | WGAN | Messung | Measurement | Stichprobenerhebung | Sampling | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory | Statistische Methode | Statistical method | Robustes Verfahren | Robust statistics |
Saved in:
freely available
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1108/AJEB-10-2023-0099 [DOI] |
Classification: | C10 - Econometric and Statistical Methods: General. General |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014497027
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