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Distortion mismatch in the quantization of probability measures

Siegfried GrafHarald LuschgyGilles Pagès — 2008

ESAIM: Probability and Statistics

We elucidate the asymptotics of the -quantization error induced by a sequence of -optimal -quantizers of a probability distribution on d when . In particular we show that under natural assumptions, the optimal rate is preserved as long as (and for every in the case of a compactly supported distribution). We derive some applications of these results to the error bounds for quantization based cubature formulae in numerical integration on d and on the Wiener space.

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