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They introduce a new correlation. For $\pi\in \Pi(\mu,\nu)$ the set of coupling of two probability measures $\mu$ and $\nu$ on a Polish space $(X,d)$. The author introduces a plugin estimator.

Question: How to understand $\hat{\pi}$?


For the estimator of the denominator, I use the same notation as the answer.

\begin{equation*} D(\hat{\pi})=\sum_{y,z}d(y,z)\hat{\pi}_2(\{y\})\hat{\pi}_2(\{z\}) =\sum_{y,z}d(y,z)\frac{1}{N^2}\sum 1[\phi(Y_n)\in\{y\}]\sum 1[\phi(Y_m)\in\{z\}] \end{equation*} Expand the product of these two summation, $$ =\frac{1}{N^2}\sum_{y,z}d(y,z)(\sum_{i=1}^N 1[\phi(Y_i)\in\{y\}]1[\phi(Y_i)\in\{z\}]+\sum_{i\neq j}1[\phi(Y_i)\in\{y\}]1[\phi(Y_j)\in\{z\}] ) $$

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$\newcommand{\de}{\delta}$We have \begin{equation*} W(\pi):=\frac{N(\pi)}{D(\pi)}, \tag{1}\label{1} \end{equation*} where \begin{equation*} N(\pi):=\int W_1(\pi_{x_1},\nu)\mu(dx_1)=\int W_1(\pi_{x_1},\pi_2)\pi_1(dx_1), \end{equation*} \begin{equation*} D(\pi):=\int d(y,z)\nu(dy)\nu(dz)=\int d(y,z)\pi_2(dy)\pi_2(dz), \end{equation*} $\pi_{x_1}$ is the conditional distribution of $\eta$ given $\xi=x_1$ if the joint distribution of a pair $(\xi,\eta)$ of random variables is the measure $\pi$ with marginals $\mu=\pi_1$ and $\nu=\pi_2$.

The standard notation $\de_a$ is for the Dirac delta measure supported on the singleton set $\{a\}$. So, \begin{equation*} \hat{\pi}:=\frac1N\,\sum_{i=1}^N \de_{(\phi(X_i),\,\phi(Y_i))} \end{equation*} is the (random) probability measure such that \begin{equation*} \hat{\pi}(A)=\frac1N\,\sum_{i=1}^N 1((\phi(X_i),\,\phi(Y_i))\in A) \\ =\frac1N\,\sum_{i=1}^N |\{i\in\{1,\dots,N\}\colon (\phi(X_i),\,\phi(Y_i))\in A\}| \end{equation*} for any Borel set $A\in[0,1]^2$. Here $1(\mathcal A)$ is the indicator of an assertion $\mathcal A$, so that $1(\mathcal A)=1$ if $\mathcal A$ is true and $1(\mathcal A)=0$ if $\mathcal A$ is false.

Then for the first marginal $\hat\pi_1$ of $\hat\pi$ and each $x_1\in X=[0,1]$ we have \begin{equation*} \hat\pi_1(\{x_1\})=\frac1N\,\sum_{i=1}^N 1(\phi(X_i)\in \{x_1\}) \\ =\frac1N\,\sum_{i=1}^N 1(X_i\in\phi^{-1}(\{x_1\})) =\frac1N\,\sum_{i=1}^N 1(X_i\in G) \end{equation*} for $G=\phi^{-1}(\{x_1\})$, and for the conditional distribution $\hat\pi_{x_1}$ of $\eta$ given $\xi=x_1$ if the joint distribution of a pair $(\xi,\eta)$ is $\hat\pi$ we have \begin{equation*} \hat\pi_{x_1}(B)=\frac{\hat\pi(\{x_1\}\times B)}{\hat\pi(\{x_1\}\times X)}, \tag{2}\label{2} \end{equation*} where $B$ is any Borel subset of $X=[0,1]$; if the denominator of the ratio in \eqref{2} is $0$, let $\hat\pi_{x_1}$ be an arbitrary probability measure. Next, \begin{equation*} \hat\pi(\{x_1\}\times B)=\frac1N\,\sum_{i=1}^N 1(\phi(X_i)=x_1,\,\phi(Y_i)\in B) \\ =\frac1N\,\sum_{i=1}^N 1(X_i\in\phi^{-1}(\{x_1\}),\,\phi(Y_i)\in B). \end{equation*} So, for $G=\phi^{-1}(\{x_1\})$, \begin{equation*} \hat\pi_{x_1}(B)=\hat\pi_G(B):=\frac{\frac1N\,\sum_{i=1}^N 1(X_i\in G,\,\phi(Y_i)\in B)} {\frac1N\,\sum_{i=1}^N 1(X_i\in G)}. \tag{3}\label{3} \end{equation*}

So, \begin{equation*} \begin{aligned} N(\hat\pi)&=\int W_1(\hat\pi_{x_1},\hat\pi_2)\hat\pi_1(dx_1) \\ &=\sum_{x_1} W_1(\hat\pi_{x_1},\hat\pi_2)\hat\pi_1(\{x_1\}) \\ & =\sum_{G\in \Phi} W_1(\hat\pi_G,\hat\pi_2)\frac1N\,\sum_{i=1}^N 1(X_i\in G) \\ & =\sum_{G\in \Phi} \frac{1}{N}|i\in\{1,\dots,N\}\ \text{s.t.}\ X_i\in G|\, W_1(\hat{\pi}_G,\hat{\pi}_2). \end{aligned} \end{equation*}

Also, if $d$ is the standard metric over $[0,1]$, then, as you have it in your "new edition",
\begin{equation} \begin{aligned} D(\hat\pi)&=\int|y-z|\hat\pi_2(dz)\hat\pi_2(dz) \\ &=\sum_{y,z}|y-z|\hat\pi_2(\{y\})\hat\pi_2(\{z\}) \\ &=\sum_{y,z}|y-z|\frac{1}{N^2}\sum_{n,m=1}^N 1(\phi(Y_n)=y,\phi(Y_m)=z) \\ &=\frac{1}{N^2}\sum_{n,m=1}^N \sum_{y,z}|y-z|1(\phi(Y_n)=y,\phi(Y_m)=z) \\ &=\frac{1}{N^2}\sum_{n,m=1}^N |\phi(Y_n)-\phi(Y_m)|. \end{aligned} \end{equation}

So, \begin{equation*} W(\hat\pi):=\frac{N(\hat\pi)}{D(\hat\pi)} =\frac{\sum_{G\in \Phi} \frac{1}{N}|i\in\{1,\dots,N\}\ \text{s.t.}\ X_i\in G|\, W(\hat{\pi}_G, \hat{\pi}_2)}{\frac{1}{N^2}\sum_{n,m=1}^N|\phi(Y_n)-\phi(Y_m)|} \end{equation*} is a plug-in estimator of $W(\pi)$.

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  • $\begingroup$ @Hermi : (i) Yes, the measure $\hat\pi_G$ defined in my answer is an estimator of the measure $\pi_G$ defined in your post. (ii) Your second comment is incorrect. I have now added details on this. (iii) In your Q3, I don't know what you mean by $\hat\pi_x$. I have now added details on this as well. (iv) I don't know where you got the first formula in your latest comment from. Details on this are also added. If you have further comments, please review them carefully before making them. $\endgroup$ Commented Jul 13, 2022 at 15:13
  • $\begingroup$ I am confused at the form of $D(\hat\pi)$ at the end. Since $\hat\pi$ does not depend on $Y_{N+1}, ...$ how can $D(\hat\pi)$ depend on it? $\endgroup$
    – Steve
    Commented Jul 14, 2022 at 7:07
  • $\begingroup$ @Hermi : I am glad that the answer is clear now. As for a plug-in estimator of $D(\pi)$, indeed you had the right idea in your "new edition", to start with a slightly different expression for $D(\pi)$. This idea is now implemented in the answer. If you have no other questions about this answer, can we wrap it up in accordance with the guidelines at mathoverflow.net/help/accepted-answer and mathoverflow.net/help/someone-answers ? $\endgroup$ Commented Jul 14, 2022 at 14:23
  • $\begingroup$ @Hermi : $|\cdot|$ is the same as in your post, where apparently $d(x,y)=|x-y|$, with $|\cdot|$ apparently denoting the absolute value. $\endgroup$ Commented Jul 14, 2022 at 18:08
  • $\begingroup$ @Hermi : In general, whatever metric $d$ is used for $W(\pi)$, the same metric will be used for $W(\hat\pi)$. $\endgroup$ Commented Jul 15, 2022 at 1:14

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