Upper bound on the total variation between Dirichlet and multivariate normal distributions

03/04/2021

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by   Frédéric Ouimet, et al.

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In this paper, we prove an asymptotic expansion for the ratio of the Dirichlet density to the multivariate normal density with the same mean and covariance matrix. The expansion is then used to derive an upper bound on the total variation between the corresponding probability measures. Other potential applications are briefly discussed.