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Wasserstein Autoregressive Models for Density Time Series
Chao Zhang, Piotr Kokoszka, Alexander Petersen
Data consisting of time-indexed distributions of cross-sectional or intraday returns have been extensively studied in finance, and provide one example in which the data atoms consi…
Wasserstein -tests and Confidence Bands for the Frèchet Regression of Density Response Curves
Alexander Petersen, Xi Liu, Afshin A. Divani
Data consisting of samples of probability density functions are increasingly prevalent, necessitating the development of methodologies for their analysis that respect the inherent…
Wasserstein Covariance for Multiple Random Densities
Alexander Petersen, Hans-Georg Müller
A common feature of methods for analyzing samples of probability density functions is that they respect the geometry inherent to the space of densities. Once a metric is specified…