Weak convergence of empirical Wasserstein type distances

Abstract: We estimate contrasts $\int_0 ^1 \rho(F^{-1}(u)-G^{-1}(u))du$ between two continuous distributions $F$ and $G$ on $\mathbb R$ such that the set ${F=G}$ is a finite union of intervals, possibly empty or $\mathbb{R}$. The non-negative convex cost function $\rho$ is not necessarily symmetric and the sample may come from any joint distribution $H$ on $\mathbb{R}^2$ with marginals $F$ and $G$ having light enough tails with respect to $\rho$. The rates of weak convergence and the limiting distributions are derived in a wide class of situations including the classical Wasserstein distances $W_1$ and $W_2$. The new phenomenon we describe in the case $F=G$ involves the behavior of $\rho$ near $0$, which we assume to be regularly varying with index ranging from $1$ to $2$ and to satisfy a key relation with the behavior of $\rho$ near $\infty$ through the common tails. Rates are then also regularly varying with powers ranging from $1/2$ to $1$ also affecting the limiting distribution, in addition to $H$.