riecovest.distance.wasserstein_distance

riecovest.distance.wasserstein_distance(A, B)

Computes the Wasserstein distance between two zero-mean Gaussian distributions defined by two positive definite matrices.

Parameters:

• A (ndarray of shape (M, M)) – Positive definite matrix

• B (ndarray of shape (M, M)) – Positive definite matrix

Returns:

distance – The distance between A and B in Wasserstein distance

Return type:

float