Toolbox: Gaussian comparison on Eucledian balls

Andzhey Koziuk and Vladimir Spokoiny

No 2018-028, IRTG 1792 Discussion Papers from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"

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 (search for similar items in EconPapers)
JEL-codes: C00 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:irtgdp:2018028

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