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arXiv · 2012.04023

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

Song Fang·Quanyan Zhu
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Abstract

In this short note, we introduce the spectral-domain $\mathcal{W}_2$ 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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BibTeXRIS

Song Fang, Quanyan Zhu. 2020-12-07. The Spectral-Domain $\mathcal{W}_2$ Wasserstein Distance for Elliptical Processes and the Spectral-Domain Gelbrich Bound. https://arxiv.org/abs/2012.04023

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