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Gaussian approximation of Gaussian scale mixtures

Gérard LetacHélène Massam — 2020

Kybernetika

For a given positive random variable V > 0 and a given Z N ( 0 , 1 ) independent of V , we compute the scalar t 0 such that the distance in the L 2 ( ) sense between Z V 1 / 2 and Z t 0 is minimal. We also consider the same problem in several dimensions when V is a random positive definite matrix.

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