The fast rate of convergence of the smooth adapted Wasserstein distance

Abstract

Estimating a $d$-dimensional distribution $\mu$ by the empirical measure ${\hat{\mu }}_n$ of its samples is an important task in probability theory, statistics and machine learning. It is well known that $\mathbb{E}[{\mathcal{W}}_p({\hat{\mu }}_n,\mu )]\lesssim n^{-1/d}$ for $d>2p$, where ${\mathcal{W}}_p$ denotes the $p$-Wasserstein metric. An effective tool to combat this curse of dimensionality is the smooth Wasserstein distance ${\mathcal{W}}_p^{(\sigma )}$, which measures the distance between two probability measures after having convolved them with isotropic Gaussian noise $\mathcal{N}(0,{\sigma }^2\text{I})$. In this paper we apply this smoothing technique to the adapted Wasserstein distance. We show that the smooth adapted Wasserstein distance $\mathcal{A}{\mathcal{W}}_p^{(\sigma )}$ achieves the fast rate of convergence $\mathbb{E}[\mathcal{A}{\mathcal{W}}_p^{(\sigma )}({\hat{\mu }}_n,\mu )]\lesssim n^{-1/2}$, if $\mu$ is subgaussian. This result follows from the surprising fact, that any subgaussian measure $\mu$ convolved with a Gaussian distribution has locally Lipschitz kernels.