Gaussian approximation of Gaussian scale mixture
Statistics Theory
2019-12-20 v3 Statistics Theory
Abstract
For a given positive random variable and a given independent of , we compute the scalar such that the distance between and in the sense, is minimal. We also consider the same problem in several dimensions when 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