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In probability and statistics, a probability distribution assigns a probability to each measurable subset of the possible outcomes of a random experiment, survey, or procedure of statistical inference.

7 votes
1 answer
726 views

Reference request: discretisation of probability measures on $\mathbb R^d$

Given a probability measures $\mu$ on $\mathbb R^d$ with finite first movement, i.e. $$\int_{\mathbb R^d}|x|\mu(dx)~~<~~+\infty.$$ My concern is to approximate $\mu$ some $\mu_n$ that is countably o …
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1 vote
0 answers
69 views

Reference request on numerical integration

Let $\rho:\mathbb R^d\to\mathbb R_+$ be a density function with finite first moment, i.e. $$\int_{\mathbb R^d}~ \rho(x)dx~=~1 \quad \mbox{ and }\quad \int_{\mathbb R^d}~ |x|\rho(x)dx<+\infty.$$ For …
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0 votes

Question about Wasserstein metric

I've a solution but it's not perfectly satisfying. Assume that $$V~~~:=~~~\int |x|^pd\mu(x)~+~\int |x|^pd\nu(x)~~~<~~~+\infty$$ for some fixed $p>1$. It follows from Thought 1 that, there exists $f …
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8 votes
3 answers
916 views

Question about Wasserstein metric

Let $\mu$ and $\nu$ be two probability measures on $\mathbb R^n$ with finite first moment. Denote by $d:=W_1(\mu,\nu)$, where $W_1(\cdot,\cdot)$ stands for the Wasserstein distance of order $1$. My …
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