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SUMMARY:Finance and Stochastics Seminar – Johannes Wiesel
DESCRIPTION:Speaker: Johannes Wiesel\nTitle: Measuring association with Was
 serstein distances\nAbstract: Let π∈Π(μ\,ν) be a coupling between 
 two probability measures μ and ν on a Polish space. In this talk we prop
 ose and study a class of nonparametric measures of association between μ 
 and ν\, which we call Wasserstein correlation coefficients. These coeffic
 ients are based on the Wasserstein distance between ν and the disintegrat
 ion πx1 of π with respect to the first coordinate. We also establish b
 asic statistical properties of this new class of measures: we develop a st
 atistical theory for strongly consistent estimators and determine their co
 nvergence rate in the case of compactly supported measures μ and ν. Thro
 ughout our analysis we make use of the so-called adapted/bicausal Wasserst
 ein distance\, in particular we rely on results established in [Backhoff\,
  Bartl\, Beiglböck\, Wiesel. Estimating processes in adapted Wasserstein 
 distance. 2022]. Our approach applies to probability laws on general Polis
 h spaces.
URL:https://www.imperial.ac.uk/events/199613/finance-and-stochastics-semina
 r-johannes-wiesel/
DTSTART;TZID=Europe/London:20260127T140000
DTEND;TZID=Europe/London:20260127T150000
LOCATION:410\, Huxley Building\, South Kensington Campus\, Imperial College
  London\, London\, SW7 2AZ\, United Kingdom
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