Gaussian_Wd {LOMAR}

Gaussian_Wd

Description

Compute 2-Wasserstein distance between two Gaussian distributions

Usage

Gaussian_Wd(m1, m2, S1, S2, S = NULL)

Arguments

m1

mean of first distribution

m2

mean of second distribution

S1

variance of first distribution

S2

variance of second distribution

S

(optional) matrix of pre-computed sqrtm(sqrtm(S1) %*% S2 %*% sqrtm(S1))

Value

distance value