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Approximation rate in Wasserstein distance of probability...
Oumaima Bencheikh, Benjamin Jourdain · 2020-12-18 · via math.PR updates on arXiv.org

We are interested in the approximation in Wasserstein distance with index $ρ\ge 1$ of a probability measure $μ$ on the real line with finite moment of order $ρ$ by the empirical measure of $N$ deterministic points. The minimal error converges to $0$ as $N\to+\infty$ and we try to characterize the order associated with this convergence. In \cite{xuberger}, Xu and Berger show that, apart when $μ$ is a Dirac mass and the error vanishes, the order is not larger than $1$ and give a sufficient condition for the order to be equal to this threshold $1$ in terms of the density of the absolutely continuous with respect to the Lebesgue measure part of $μ$. They also prove that the order is not smaller than $1/ρ$ when the support of $μ$ is bounded and not larger when the support is not an interval. We complement these results by checking that for the order to lie in the interval $\left(1/ρ,1\right)$, the support has to be bounded and by stating a necessary and sufficient condition in terms of the tails of $μ$ for the order to be equal to some given value in the interval $\left(0,1/ρ\right)$, thus precising the sufficient condition in terms of moments given in \cite{xuberger}. In view of practical application, we emphasize that in the proof of each result about the order of convergence of the minimal error, we exhibit a choice of points explicit in terms of the quantile function of $μ$ which exhibits the same order of convergence.