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math.ST2021
Measuring dependence between random vectors via optimal transport
Gilles Mordant, Johan Segers
To quantify the dependence between two random vectors of possibly different dimensions, we propose to rely on the properties of the 2-Wasserstein distance. We first propose two coe…
math.ST2021
Concentration bounds for the empirical angular measure with statistical learning applications
Stéphan Clémençon, Hamid Jalalzai, Stéphane Lhaut +2
The angular measure on the unit sphere characterizes the first-order dependence structure of the components of a random vector in extreme regions and is defined in terms of standar…