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This question is inspired by this much older question:

Convergence of an empirical distribution w.r.t. the Hellinger distance

Let $P$ be a continuous probability distribution on a compact subset of $\mathbb{R}^3$ and let $X_1,X_2,…,X_n$ be drawn i.i.d. according to $P$. Define the empirical distribution: $$\hat{P_n}(x) = \frac{1}{n} \sum_{i=1}^{n} 1_{X_i = x}$$

Let $d(P,Q)$ denote the earth-mover distance between two distributions $P$ and $Q$. Is there a nice expression for the expected distance between $\hat{P_n}$ and $P$?

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See, e.g., section 2.1 of http://arxiv.org/pdf/1209.1077.pdf; also http://dx.doi.org/10.1007/BF02213456, which is cited in Villani's book as having particularly precise estimates.

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  • $\begingroup$ Looking at the paper you cite, it seems that that paper cites an earlier work for the $W_1$ distance, which I think is the "earth-mover distance": [11] V. Dobri and J. Yukich. Asymptotics for transportation cost in high dimensions. Journal of Theoretical Probability, 8:97-118, 1995. $\endgroup$ – Anthony Quas Nov 6 '14 at 18:16

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