Electronic Journal of Statistics
- Electron. J. Statist.
- Volume 12, Number 2 (2018), 2091-2113.
Measuring distributional asymmetry with Wasserstein distance and Rademacher symmetrization
We propose of an improved version of the ubiquitous symmetrization inequality making use of the Wasserstein distance between a measure and its reflection in order to quantify the asymmetry of the given measure. An empirical bound on this asymmetric correction term is derived through a bootstrap procedure and shown to give tighter results in practical settings than the original uncorrected inequality. Lastly, a wide range of applications are detailed including testing for data symmetry, constructing nonasymptotic high dimensional confidence sets, bounding the variance of an empirical process, and improving constants in Nemirovski style inequalities for Banach space valued random variables.
Electron. J. Statist., Volume 12, Number 2 (2018), 2091-2113.
Received: July 2017
First available in Project Euclid: 13 July 2018
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Kashlak, Adam B. Measuring distributional asymmetry with Wasserstein distance and Rademacher symmetrization. Electron. J. Statist. 12 (2018), no. 2, 2091--2113. doi:10.1214/18-EJS1440. https://projecteuclid.org/euclid.ejs/1531468822