Electronic Journal of Statistics

Wasserstein and total variation distance between marginals of Lévy processes

Abstract

We present upper bounds for the Wasserstein distance of order $p$ between the marginals of Lévy processes, including Gaussian approximations for jumps of infinite activity. Using the convolution structure, we further derive upper bounds for the total variation distance between the marginals of Lévy processes. Connections to other metrics like Zolotarev and Toscani-Fourier distances are established. The theory is illustrated by concrete examples and an application to statistical lower bounds.

Article information

Source
Electron. J. Statist., Volume 12, Number 2 (2018), 2482-2514.

Dates
First available in Project Euclid: 27 July 2018

https://projecteuclid.org/euclid.ejs/1532657104

Digital Object Identifier
doi:10.1214/18-EJS1456

Mathematical Reviews number (MathSciNet)
MR3833470

Zentralblatt MATH identifier
06917483

Citation

Mariucci, Ester; Reiß, Markus. Wasserstein and total variation distance between marginals of Lévy processes. Electron. J. Statist. 12 (2018), no. 2, 2482--2514. doi:10.1214/18-EJS1456. https://projecteuclid.org/euclid.ejs/1532657104

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