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1-Wasserstein distance between two multivariate normal

For $p=1$ one can bound the 1-Wasserstein metric by $$|m-n| + \sqrt{\sum_{i=1}^{d} \left[ \left( \sqrt{\lambda_i} - \sqrt{\gamma_i}\right)^2 + 2\sqrt{\lambda_i\gamma_i}(1-v_i\cdot u_i) \right]}$$ whe …
Martin Sleziak's user avatar