The Spectral-Domain 𝒲_2 Wasserstein Distance for Elliptical Processes and the Spectral-Domain Gelbrich Bound

12/07/2020

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by   Song Fang, et al.

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In this short note, we introduce the spectral-domain 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.