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Stability of the Ghurye-Olkin Characterization of Vector Gaussian Distributions (2405.01707v1)
Published 2 May 2024 in cs.IT and math.IT
Abstract: The stability of the Ghurye-Olkin (GO) characterization of Gaussian vectors is analyzed using a partition of the vectors into equivalence classes defined by their matrix factors. The sum of the vectors in each class is near-Gaussian in the characteristic function (c.f.) domain if the GO independence condition is approximately met in the c.f. domain. All vectors have the property that any vector projection is near-Gaussian in the distribution function (d.f.) domain. The proofs of these c.f. and d.f. stabilities use tools that establish the stabilities of theorems by Kac-Bernstein and Cram\'er, respectively. The results are used to prove stability theorems for differential entropies of Gaussian vectors and blind source separation of non-Gaussian sources.
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