On a class of norms generated by nonnegative integrable distributions

Author:

Falk Michael1,Stupfler Gilles2

Affiliation:

1. Institute of Mathematics, University of Würzburg, Würzburg, Germany

2. School of Mathematical Sciences, University of Nottingham, Nottingham, UK

Abstract

AbstractWe show that any distribution function on ℝd with nonnegative, nonzero and integrable marginal distributions can be characterized by a norm on ℝd+1, called F-norm. We characterize the set of F-norms and prove that pointwise convergence of a sequence of F-norms to an F-norm is equivalent to convergence of the pertaining distribution functions in the Wasserstein metric. On the statistical side, an F-norm can easily be estimated by an empirical F-norm, whose consistency and weak convergence we establish.The concept of F-norms can be extended to arbitrary random vectors under suitable integrability conditions fulfilled by, for instance, normal distributions. The set of F-norms is endowed with a semigroup operation which, in this context, corresponds to ordinary convolution of the underlying distributions. Limiting results such as the central limit theorem can then be formulated in terms of pointwise convergence of products of F-norms.We conclude by showing how, using the geometry of F-norms, we may characterize nonnegative integrable distributions in ℝd by simple compact sets in ℝd+1. We then relate convergence of those distributions in the Wasserstein metric to convergence of these characteristic sets with respect to Hausdorff distances.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

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