The Spectral-Domain W2\mathcal{W}_2 Wasserstein Distance for Elliptical Processes and the Spectral-Domain Gelbrich Bound

preprint2021arXivOpen access

Abstract

In this short note, we introduce the spectral-domain W2\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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