Abstract:
Let $X_1,\dots,X_n$ be independent random variables with common distribution the standard Gaussian measure $\mu$ on $\mathbb R^2$, and let $\mu_n=\frac1n\sum_{i=1}^n\delta_{X_i}$ be the associated empirical measure. We show that, for some numerical constant $C>0$,
$$
\frac1C\frac{\log n}n\leq\mathbb E(\mathrm W_2^2(\mu_n,\mu))\leq C\frac{(\log n)^2}n
$$
where $\mathrm W_2$ is the quadratic Kantorovich metric, and conjecture that the left-hand side provides the correct order. The proof is based on the recent PDE and mass transportation approach developed by L. Ambrosio, F. Stra and D. Trevisan.
Key words and phrases:optimal matching, Ajtai–Komlós–Tusnády theorem, optimal transport, heat kernel, Gaussian sample.