The Spectral-Domain \mathcal{W}_2 Wasserstein Distance for Elliptical Processes and the Spectral-Domain Gelbrich Bound

Publication date 7 December 2020

Abstract: In this short note, we introduce the spectral-domain

m a t h c a l W_{2}

Wasserstein distance for elliptical stochastic processes in terms of their power spectra. We also introduce the spectral-domain Gelbrich bound for processes that are not necessarily elliptical.

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