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A Unifying Framework for Global Gaussianization: Asymptotic Equivalence of Locally Stationary Processes and Bivariate White Noise
We consider a general class of statistical experiments, in which an $n$-dimensional centered Gaussian random variable is observed and its covariance matrix is the parameter of interest. The covariance matrix is assumed to be well-approximable in a linear space of lower dimension $K_n$ with eigenvalues uniformly bounded away from zero …