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Smooth Cyclically Monotone Interpolation and Empirical Center-Outward Distribution Functions

Author

Listed:
  • Eustasio Del Barrio
  • Juan Cuesta Albertos
  • Marc Hallin
  • Carlos Matran

Abstract

We consider the smooth interpolation problem under cyclical monotonicity constraint. More precisely, consider finite n-tuples X =fx1; xng and Y = fy1; yng of points in Rd, and assume the existence of a unique bijection T :X !Y such that f(x; T(x)): x 2 Xg is cyclically monotone: our goal is to define continuous, cyclically mono-tone maps T :Rd !Rd such that T(xi) = yi, i = 1; n, extending a classical result by Rockafellar on the sub differentials of convex functions. Our solutions T are Lipschitz, and we provide a sharp lower bound for the corresponding Lipschitz constants. The problem is motivated by, and the solution naturally applies to, the concept of empirical center-outwarddistribution function in Rd developed in Hallin (2018). Those empirical distribution functions indeed are de_ned at the observations only. Our interpolation provides a smooth extension, as well as a multivariate, outward-continuous, jump function version thereof (the latter naturally generalizes the traditional left-continuous univariate concept); both satisfy a Glivenko-Cantelli property as n !1.

Suggested Citation

  • Eustasio Del Barrio & Juan Cuesta Albertos & Marc Hallin & Carlos Matran, 2018. "Smooth Cyclically Monotone Interpolation and Empirical Center-Outward Distribution Functions," Working Papers ECARES 2018-15, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:eca:wpaper:2013/271399
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    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/271399/3/2018-15-DELBARRIO_CUESTASALBERTO_HALLIN_MATRAN-smooth.pdf
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    References listed on IDEAS

    as
    1. Victor Chernozhukov & Alfred Galichon & Marc Hallin & Marc Henry, 2014. "Monge-Kantorovich Depth, Quantiles, Ranks, and Signs," Papers 1412.8434, arXiv.org, revised Sep 2015.
    2. Marc Hallin, 2017. "On Distribution and Quantile Functions, Ranks and Signs in R_d," Working Papers ECARES ECARES 2017-34, ULB -- Universite Libre de Bruxelles.
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    Cited by:

    1. Eustasio Del Barrio & Alberto Gonzalez-Sanz & Marc Hallin, 2019. "A Note on the Regularity of Center-Outward Distribution and Quantile Functions," Working Papers ECARES 2019-33, ULB -- Universite Libre de Bruxelles.
    2. de Valk, Cees Fouad & Segers, Johan, 2018. "Stability and tail limits of transport-based quantile contours," IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences) 2018031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Marc Hallin, 2018. "From Mahalanobis to Bregman via Monge and Kantorovich towards a “General Generalised Distance”," Working Papers ECARES 2018-12, ULB -- Universite Libre de Bruxelles.
    4. Jan Bierlant & Sven Buitendag & Eustasio Del Barrio & Marc Hallin, 2019. "Center-Outward Quantiles And The Measurement Of Multivariate Risk," Working Papers ECARES 2019-30, ULB -- Universite Libre de Bruxelles.
    5. Marc Hallin, 2018. "From Mahalanobis to Bregman via Monge and Kantorovich," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 80(1), pages 135-146, December.
    6. Hongjian Shi & Marc Hallin & Mathias Drton & Fang Han, 2020. "Rate-Optimality of Consistent Distribution-Free Tests of Independence Based on Center-Outward Ranks and Signs," Working Papers ECARES 2020-23, ULB -- Universite Libre de Bruxelles.

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