On Choosing and Bounding Probability Metrics
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Publication:4832030
DOI10.2307/1403865zbMATH Open1217.62014arXivmath/0209021OpenAlexW2951714068MaRDI QIDQ4832030FDOQ4832030
Alison L. Gibbs, Francis Edward Su
Publication date: 3 January 2005
Published in: International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)
Abstract: When studying convergence of measures, an important issue is the choice of probability metric. In this review, we provide a summary and some new results concerning bounds among ten important probability metrics/distances that are used by statisticians and probabilists. We focus on these metrics because they are either well-known, commonly used, or admit practical bounding techniques. We summarize these relationships in a handy reference diagram, and also give examples to show how rates of convergence can depend on the metric chosen.
Full work available at URL: https://arxiv.org/abs/math/0209021
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Convergence of probability measures (60B10) Characterization and structure theory of statistical distributions (62E10) Statistical distribution theory (62E99)
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