English

Gaussian approximation of Gaussian scale mixture

Statistics Theory 2019-12-20 v3 Statistics Theory

Abstract

For a given positive random variable V>0V>0 and a given ZN(0,1)Z\sim N(0,1) independent of VV, we compute the scalar t0t_0 such that the distance between ZVZ\sqrt{V} and Zt0Z\sqrt{t_0} in the L2(R)L^2(\R) sense, is minimal. We also consider the same problem in several dimensions when VV is a random positive definite matrix.

Keywords

Cite

@article{arxiv.1810.02036,
  title  = {Gaussian approximation of Gaussian scale mixture},
  author = {Gérard Letac and Hélène Massam},
  journal= {arXiv preprint arXiv:1810.02036},
  year   = {2019}
}

Comments

13 pages

R2 v1 2026-06-23T04:28:01.466Z