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One-dimensional second-Wasserstein convergence criterion

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Coupling of probability distributions Wasserstein distance Second Wasserstein distance
2026-10-03  0 By others on same topic  0 Discussions Create my own version
For probability measures μn​,μ on the real line with finite second moments, W2​(μn​,μ)→0 exactly when μn​ converges weakly to μ and their second moments converge. The common-quantile coupling is optimal and satisfies
W2​(μn​,μ)2=∫01​∣Fμn​−1​(u)−Fμ−1​(u)∣2du.
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  1. Second Wasserstein distance
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  • Past exam of the mathematics course of the University of Cambridge / 2019 / ii / Paper 4 / 26K / b / ii / Solution

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