Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

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

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