Earlier I posted a question regarding the probability of one gaussian distribution being similar to another one.
I might have stumbled on something that might answer the question but I'm not sure. I found out that the expectation of the difference of two gaussians can be calculated from their cross-correlation integral.
From Wolfram's Mathworld pages I found the convolution integral of two gaussians (which is the expectation of sum of two gaussians) but they didn't give explicit form of the cross-correlation of two gaussian functions.
Would this be the right way to calculate how similar two gaussians are?
If yes, does anyone know how to derive the cross-correlation of gaussians, or have the final answer at hand.
Your help is much appreciated.