Optimal transport in statistics and Pitman efficient multivariate distribution-free testing

Speaker: Nabarun Deb, UBC

Date: Wed, Feb 1, 2023

Location: Online

Conference: Emergent Research: The PIMS Postdoctoral Fellow Seminar

Subject: Mathematics

Class: Scientific


In recent years, the problem of optimal transport has received significant attention in statistics and machine learning due to its powerful geometric properties. In this talk, we introduce the optimal transport problem and present concrete applications of this theory in statistics. In particular, we will propose a general framework for distribution-free nonparametric testing in multi-dimensions, based on a notion of "multivariate ranks" defined using the theory of optimal transport. We demonstrate the applicability of this approach by constructing exactly distribution-free tests for testing the equality of two multivariate distributions. We investigate the consistency and asymptotic distributions of these tests, both under the null and local contiguous alternatives. We further study their local power and asymptotic (Pitman) efficiency, and show that a subclass of these tests achieve attractive efficiency lower bounds that mimic the classical efficiency results of Hodges and Lehmann (1956) and Chernoff and Savage (1958).