The Spectral-Domain $\mathcal{W}_2$ Wasserstein Distance for Elliptical Processes and the Spectral-Domain Gelbrich Bound (2012.04023v2)

Published 7 Dec 2020 in math.ST, cs.LG, eess.SP, math.PR, stat.ML, and stat.TH

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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