The optimal coupling conjecture for earth mover's covariance

Let XX and YY be random variables in metric spaces with metric δ\delta, and let (X,Y)(X',Y') range over admissible couplings having the prescribed marginal laws. Define the earth mover's covariance by

eCov(X,Y)=inf(X,Y)E[δ(X,X)+δ(Y,Y)].\mathop{\mathrm{eCov}}(X,Y)=\inf_{(X',Y')}\mathbb E\big[\delta(X,X')+\delta(Y,Y')\big].

The optimal coupling conjecture. Under “general conditions”, the infimum can be attained or computed among couplings satisfying X=XX=X' or Y=YY=Y'. The text presents this as a conjectural simplification of the optimization problem, but does not specify which general conditions suffice.

Sources & referencesView supporting material

Primary source

Tamás F. Móri and Gábor J. Székely, “The Earth Mover's Correlation”, arXiv:2009.04313 (2020).

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