Finding the correlation between two coordinates of a gaussian vector conditioned to a be on a section is Omega(d)

Details Finding the correlation between two coordinates of a gaussian vector conditioned to a be on a section is Omega(d) Finding the correlation between two coordinates of a gaussian vector conditioned to a be on a section is Omega(d)

2011-12-03

arxiv.org/abs/1112.0669v1

Mathematics

Statistics Theory

5 Pages

Scientific paper

We show that in order to approximate a 2-dimensional section of the equidensity ellipsoid of a d-dimensional Gaussian random vector, one needs at least a number of samples proportional to d. Furthermore, we show that with n<

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