Bounding quantiles of Wasserstein distance between true and empirical measure

Abstract

Consider the empirical measure, ${\hat{\mathbb{P}}}_N$, associated to $N$ i.i.d. samples of a given probability distribution $\mathbb{P}$ on the unit interval. For fixed $\mathbb{P}$ the Wasserstein distance between ${\hat{\mathbb{P}}}_N$ and $\mathbb{P}$ is a random variable on the sample space $[0,1{]}^N$. Our main result is that its normalised quantiles are asymptotically maximised when $\mathbb{P}$ is a convex combination between the uniform distribution supported on the two points $\{0,1\}$ and the uniform distribution on the unit interval $[0,1]$. This allows us to obtain explicit asymptotic confidence regions for the underlying measure $\mathbb{P}$. We also suggest extensions to higher dimensions with numerical evidence.