Gaussian approximation of Gaussian scale mixture

DOI10.14736/KYB-2020-6-1063MaRDI QIDQ6307674arXivFDO

Authors Gérard Letac, Hélène Massam

Publication date 3 October 2018

Published in arXiv

Full work available at URL https://doi.org/10.14736/KYB-2020-6-1063

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Approximations to statistical distributions (nonasymptotic) (62E17) Multivariate distribution of statistics (62H10)

arXiv classification

math.STstat.TH

Abstract: For a given positive random variable $V>0$ and a given $ZsimN(0,1)$ independent of $V$, we compute the scalar $t_0$ such that the distance between $ZsqrtV$ and $Zsqrt{t}_0$ in the $L^2(R)$ sense, is minimal. We also consider the same problem in several dimensions when $V$ is a random positive definite matrix.

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