IRTG1792DP2018 028
Toolbox: Gaussian comparison on Eucledian balls
Andzhey Koziuk
Vladimir Spokoiny
Abstract
In the work a characterization of difference of multivariate Gaussian measures is found on the
family of centered Eucledian balls. In particular, it helps to derive (xx see paper).
Keywords:
multivariate Gaussian measure, Kolmogorov distance, Gaussian comparison
JEL classification: