Corpus ID: 119147701

Gaussian Approximations for Probability Measures on $\mathbf{R}^d$

@article{Lu2016GaussianAF,
  title={Gaussian Approximations for Probability Measures on \$\mathbf\{R\}^d\$},
  author={Y. Lu and A. Stuart and H. Weber},
  journal={arXiv: Probability},
  year={2016}
}
This paper concerns the approximation of probability measures on $\mathbf{R}^d$ with respect to the Kullback-Leibler divergence. Given an admissible target measure, we show the existence of the best approximation, with respect to this divergence, from certain sets of Gaussian measures and Gaussian mixtures. The asymptotic behavior of such best approximations is then studied in the small parameter limit where the measure concentrates; this asymptotic behaviour is characterized using $\Gamma… Expand
6 Citations

References

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