The optimal coupling conjecture for earth mover's covariance
The optimal coupling conjecture for earth mover's covariance
Let and be random variables in metric spaces with metric , and let range over admissible couplings having the prescribed marginal laws. Define the earth mover's covariance by
The optimal coupling conjecture. Under “general conditions”, the infimum can be attained or computed among couplings satisfying or . The text presents this as a conjectural simplification of the optimization problem, but does not specify which general conditions suffice.
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Primary source
Tamás F. Móri and Gábor J. Székely, “The Earth Mover's Correlation”, arXiv:2009.04313 (2020).
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