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Information Geometry of smooth densities on the Gaussian space: Poincaré inequalities (2002.12871v2)

Published 28 Feb 2020 in math.ST and stat.TH

Abstract: We derive bounds for the Orlicz norm of the deviation of a random variable defined on $\mathbb{R}n$ from its Gaussian mean value. The random variables are assumed to be smooth and the bound itself depends on the Orlicz norm of the gradient. Applications to non-parametric Information Geometry are discussed.

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