Central Limit Theorems for General Transportation Costs

02/12/2021

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by   Eustasio del Barrio, et al.

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We consider the problem of optimal transportation with general cost between a empirical measure and a general target probability on R d , with d ≥ 1. We extend results in [19] and prove asymptotic stability of both optimal transport maps and potentials for a large class of costs in R d. We derive a central limit theorem (CLT) towards a Gaussian distribution for the empirical transportation cost under minimal assumptions, with a new proof based on the Efron-Stein inequality and on the sequential compactness of the closed unit ball in L 2 (P) for the weak topology. We provide also CLTs for empirical Wassertsein distances in the special case of potential costs | ∙ | p , p > 1.