Random Matrix-Improved Estimation of the Wasserstein Distance between two Centered Gaussian Distributions
Random Matrix-Improved Estimation of the Wasserstein Distance between two Centered Gaussian Distributions
This article proposes a method to consistently estimate functionals 1/pΣ <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">i=1</sub> <sup xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">p</sup> f(λ <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">i</sub> (C <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</sub> C <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">2</sub> )) of the eigenvalues of the product of two covariance matrices C <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</sub> ,C <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">2</sub> ∈R <sup xmlns:mml="http://www.w3.org/1998/Math/MathML" …