Couplings Farthest from the Independent Gaussian

Source abstract

Motivated by Wasserstein measures of dependence, we study the largest possible 2-Wasserstein distance between a joint distribution and the product of its prescribed marginals. For two uniform marginals, Catalano and Lavenant conjectured that the monotone and antimonotone couplings maximize the distance from the independent coupling. We prove the Gaussian analogue for an arbitrary number $n\geq 2$ of one-dimensional standard Gaussian marginals. More generally, for every probability measure $μ$ on $\mathbb R$ with finite second moment, we characterize the laws on $\mathbb{R}^n$ with all marginals equal to $μ$ that are farthest from the $n$-dimensional standard Gaussian.