Log-normal approximation for the Wasserstein distance between Gaussian samples
Log-normal approximation for the Wasserstein distance between Gaussian samples
Let be the squared Wasserstein distance between two empirical samples of size from the standard normal distribution, and let denote a log-normal distribution with parameters and . Log-normal approximation conjecture. For large enough, the distribution of can be approximated by . This approximation is proposed to obtain an explicit usable description of the statistic for sufficiently large samples, typically ; the source provides no resolution of the conjecture.
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Primary source
Johann Clément-Cottuz, Maxime Bérar and Gilles Gasso, “Two-sample test with Wasserstein distance on Gaussian samples based on a log-normal approximation”, arXiv:2606.25521 (2026).
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