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Gaussian functions / distributions / processes...

21 votes

Why is the Gaussian so pervasive in mathematics?

(The sort of obvious answer from teaching statistics several times:) The sum of two independent normal random variables is again normal, i.e., the shape of the distribution is unchanged under addition …
Bjørn Kjos-Hanssen's user avatar
3 votes
Accepted

Divergence between two random variables

Let $0<\alpha<1$ (typically $\alpha=0.05$) and choose $\varepsilon>0$ such that $$\alpha = \mathbb P(\left |X-\mu_X\right | > \varepsilon)$$ Now let $$f = \mathbb P(\left |Y-\mu_X\right | > \varep …
Bjørn Kjos-Hanssen's user avatar
2 votes

Constructive Central Limit Theorem

Did you try given $g_n$ to let $s_n=F_{s_n}^{-1}F_{g_n}(g_n)$ where $F_X$ is the c.d.f. of $X$?
Bjørn Kjos-Hanssen's user avatar
1 vote

Derive concentration bound for the derivative

No, $f(z)$ being sub-Gaussian does not imply that $f'(z)$ is sub-Gaussian. An easy way to see this is to use the fact that a sub-Gaussian must have zero mean. … So $f'(1)$ is not sub-Gaussian. …
Bjørn Kjos-Hanssen's user avatar