Multivariate Gini-type discrepancies

被引:0
|
作者
Auricchio, Gennaro [1 ]
Brigati, Giovanni [2 ]
Giudici, Paolo [3 ]
Toscani, Giuseppe [4 ,5 ]
机构
[1] Univ Padua, Dept Math, Via Trieste 36, I-35100 Padua, Italy
[2] IST Austria, Campus 1, A-3400 Klosterneuburg, Austria
[3] Univ Pavia, Dept Econ & Management, Piazza Botta Adorno Antoniotto 6, I-27100 Pavia, Italy
[4] Univ Pavia, Dept Math, Piazza Botta Adorno Antoniotto 6, I-27100 Pavia, Italy
[5] Consiglio Nazl Ric CNR, Inst Appl Math & Informat Technol IMATI, Via Adolfo Ferrata 5, I-27100 Pavia, PV, Italy
基金
欧盟地平线“2020”;
关键词
Complexity; iscrepancy measures; Multivariate distributions; Scale Invariance; Wasserstein distance; Gini index; ESG factors; 2-DIMENSIONAL CONCENTRATION SURFACE; DIFFERENTIAL GEOMETRIC METHODS; CONCENTRATION COEFFICIENT; PARETO DISTRIBUTION; INEQUALITY;
D O I
10.1142/S0218202525500174
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
Measuring distances in a multidimensional setting is a challenging problem, which appears in many fields of science and engineering. In this paper, to measure the distance between two multivariate distributions, we introduce a new measure of discrepancy which is scale invariant and which, in the case of two independent copies of the same distribution, and after normalization, coincides with the scaling invariant multidimensional version of the Gini index recently proposed in [P. Giudici, E. Raffinetti and G. Toscani, Measuring multidimensional inequality: A new proposal based on the Fourier transform, preprint (2024), arXiv:2401.14012]. A byproduct of the analysis is an easy-to-handle discrepancy metric, obtained by application of the theory to a pair of Gaussian multidimensional densities. The obtained metric does improve the standard metrics, based on the mean squared error, as it is scale invariant. The importance of this theoretical finding is illustrated by means of a real problem that concerns measuring the importance of Environmental, Social and Governance factors for the growth of small and medium enterprises.
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页数:30
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