From Mahalanobis to Bregman via Monge and Kantorovich towards a “General Generalised Distance”
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References listed on IDEAS
- Alfred Galichon, 2016. "Optimal Transport Methods in Economics," Economics Books, Princeton University Press, edition 1, number 10870, October.
- Guillaume Carlier & Victor Chernozhukov & Alfred Galichon, 2015.
"Vector quantile regression: an optimal transport approach,"
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CWP58/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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KeywordsBregman divergence; gradient of convex function; Mahalanobis distance; measure transportation; McCann theorem; Monge-Kantorovich problem; multivariate distribution function; multivariate quantiles; outlyingness;
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