Comparing the $G$-Normal Distribution to its Classical Counterpart

Publication date: 18 July 2014

Abstract: In one dimension, the theory of the

G

-normal distribution is well-developed, and many results from the classical setting have a nonlinear counterpart. Significant challenges remain in multiple dimensions, and some of what has already been discovered is quite nonintuitive. By answering several classically-inspired questions concerning independence, covariance uncertainty, and behavior under certain linear operations, we continue to highlight the fascinating range of unexpected attributes of the multidimensional

G

-normal distribution.

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