Note on approximating the Laplace transform of a Gaussian on a complex disk

Yihong Wu
Yihong Wu
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Abstract:

In this short note we study how well a Gaussian distribution can be approximated by distributions supported on $[-a,a]$. Perhaps, the natural conjecture is that for large $a$ the almost optimal choice is given by truncating the Gaussian to $[-a,a]$. Indeed, such approximation achieves the optimal rate of $e^{-\Theta(a^2)}$ in terms of t...More

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