Gaussian Random Vectors in High Dimensions

Sven A. Wegner ()

Chapter Chapter 10 in Mathematical Introduction to Data Science, 2024, pp 139-149 from Springer

Abstract: Abstract In this chapter, we prove the Gaussian annulus theorem using the Chernoff method. As corollaries, we present the Gaussian orthogonality theorem and the Gaussian distance theorem. These theorems show that the properties of high-dimensional Gaussian data, which initially appeared unintuitive in Chapter 8 , in fact make very much sense.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-662-69426-8_10

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DOI: 10.1007/978-3-662-69426-8_10

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