dwasserstein {fdWasserstein} | R Documentation |
Computes the 2-Wasserstein distance between the (covariance) matrices A and B.
dwasserstein(A, B)
A , B |
Two symmetric positive semi-definite matrices. |
A numeric object with the 2-Wasserstein distance of A and B.
Valentina Masarotto, Guido Masarotto
Masarotto, V., Panaretos, V.M. & Zemel, Y. (2019) "Procrustes Metrics on Covariance Operators and Optimal Transportation of Gaussian Processes", Sankhya A 81, 172-213 doi:10.1007/s13171-018-0130-1
n <- 10
matrices <- rWishart(2,n,diag(n))
A <- matrices[,,2]
B <- matrices[,,1]
dwasserstein(A,B)
dwasserstein(A, 10*crossprod(B))