An inequality for the total variation distance between high-dimensional centered Gaussian laws

Lucio Barabesi and Luca Pratelli

Statistics & Probability Letters, 2024, vol. 211, issue C

Abstract: We propose tight bounds for the total variation measure between two centered Gaussian laws, which improve over the existing inequalities. The suggested inequalities have applications in different contexts when a high-dimensional setting is assumed.

Keywords: Total variation measure; Gaussian law; Berry–Esseen inequality (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110148

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