Regularity of center-outward distribution functions in non-convex domains

Abstract

For a probability P in Rd ${\mathbb{R}}^{d}$ its center outward distribution function F ±, introduced in V. Chernozhukov, A. Galichon, M. Hallin, and M. Henry (“Monge–Kantorovich depth, quantiles, ranks and signs,” Ann. Stat., vol. 45, no. 1, pp. 223–256, 2017) and M. Hallin, E. del Barrio, J. Cuesta-Albertos, and C. Matrán (“Distribution and quantile functions, ranks and signs in dimension d: a measure transportation approach,” Ann. Stat., vol. 49, no. 2, pp. 1139–1165, 2021), is a new and successful concept of multivariate distribution function based on mass transportation theory. This work proves, for a probability P with density locally bounded away from zero and infinity in its support, the continuity of the center-outward map on the interior of the support of P and the continuity of its inverse, the quantile, Q ±. This relaxes the convexity assumption in E. del Barrio, A. González-Sanz, and M. Hallin (“A note on the regularity of optimal-transport-based center-outward distribution and quantile functions,” J. Multivariate Anal., vol. 180, p. 104671, 2020). Some important consequences of this continuity are Glivenko–Cantelli type theorems and characterisation of weak convergence by the stability of the center-outward map.

Keywords

• center-outward distribution function
• regularity
• monge–ampère equation
• glivenko–cantelli