On Choosing and Bounding Probability Metrics
From MaRDI portal
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
Recommendations
Convergence of probability measures (60B10) Characterization and structure theory of statistical distributions (62E10) Statistical distribution theory (62E99)
Cited In (only showing first 100 items - show all)
- On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse
- An information theoretic approach to post randomization methods under differential privacy
- Stein's method for the single server queue in heavy traffic
- The pure exploration problem with general reward functions depending on full distributions
- Improved inference for vaccine-induced immune responses via shape-constrained methods
- Rate of convergence to the Circular Law via smoothing inequalities for log-potentials
- Graphop Mean-Field Limits for Kuramoto-Type Models
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- Robustly complete finite-state abstractions for verification of stochastic systems
- Likelihood estimation of sparse topic distributions in topic models and its applications to Wasserstein document distance calculations
- An integrated consensus improving strategy based on PL-Wasserstein distance and its application in the evaluation of network public opinion emergencies
- Extended Laplace principle for empirical measures of a Markov chain
- Linear convergence of accelerated conditional gradient algorithms in spaces of measures
- Posterior asymptotics in Wasserstein metrics on the real line
- Non-asymptotic error estimates for the Laplace approximation in Bayesian inverse problems
- Impossible inference in econometrics: theory and applications
- Spectral convergence of probability densities for forward problems in uncertainty quantification
- An information-theoretic framework for improving imperfect dynamical predictions via multi-model ensemble forecasts
- A note on distances between probabilistic and quantum distributions
- Title not available (Why is that?)
- Mean-Field Controls with Q-Learning for Cooperative MARL: Convergence and Complexity Analysis
- Solving inverse problems in stochastic models using deep neural networks and adversarial training
- On generalization in moment-based domain adaptation
- Optimal \(L_2\)-norm empirical importance weights for the change of probability measure
- Piecewise linear approximation of empirical distributions under a Wasserstein distance constraint
- A load balancing system in the many-server heavy-traffic asymptotics
- Batch self-organizing maps for distributional data with an automatic weighting of variables and components
- Bounds for the asymptotic distribution of the likelihood ratio
- On a new class of multivariate prior distributions: theory and application in reliability
- Phase transitions for detecting latent geometry in random graphs
- Generalization of the Levinson inequality with applications to information theory
- Estimation of \(f\)-divergence and Shannon entropy by Levinson-type inequalities via new Green's functions and Lidstone polynomial
- The computational asymptotics of Gaussian variational inference and the Laplace approximation
- Emergence of the wrapped Cauchy distribution in mixed directional data
- Isometries of probability measures with respect to the total variation distance
- On the convergence of the Laplace approximation and noise-level-robustness of Laplace-based Monte Carlo methods for Bayesian inverse problems
- Optimal transport and unitary orbits in \(\mathrm{C}^\ast\)-algebras
- RETRACTED ARTICLE: Generalization of the Levinson inequality with applications to information theory
- Estimation of f-divergence and Shannon entropy by using Levinson type inequalities for higher order convex functions via Hermite interpolating polynomial
- Entropy results for Levinson-type inequalities via Green functions and Hermite interpolating polynomial
- Discrete Approximation and Quantification in Distributionally Robust Optimization
- Estimation of divergence measures via Weighted Jensen inequality on time scales
- Distributionally robust optimization. A review on theory and applications
- Scale-distortion inequalities for mantissas of finite data sets
- On a Berry-Esseen type limit theorem for Boolean convolution
- A symmetric matrix-variate normal local approximation for the Wishart distribution and some applications
- Rates of convergence in de Finetti's representation theorem, and Hausdorff moment problem
- On finite mixtures of discretized beta model for ordered responses
- Distributionally robust stochastic programs with side information based on trimmings
- On linear optimization over Wasserstein balls
- Quantitative stability analysis for minimax distributionally robust risk optimization
- Frameworks and results in distributionally robust optimization
- Spectrum estimation for large dimensional covariance matrices using random matrix theory
- What do we hear from a drum? A data-consistent approach to quantifying irreducible uncertainty on model inputs by extracting information from correlated model output data
- Laplace transformation and weak convergence with an application to Fluorescence Resonance Energy Transfer (FRET)
- Fluctuation theorems for synchronization of interacting Pólya's urns
- On the empirical estimation of integral probability metrics
- Estimation of Entropy and Mutual Information
- Approximation metrics based on probabilistic bisimulations for general state-space Markov processes: a survey
- Compromise programming with Tchebycheff norm for discrete stochastic orders
- Estimations of \(f\)- and Rényi divergences by using a cyclic refinement of the Jensen's inequality
- Isometries of the space of distribution functions with respect to the Kolmogorov-Smirnov metric
- Distances between distributions via Stein's method
- Stein's Method for the Beta Distribution and the Pólya-Eggenberger Urn
- A note on the rate of convergence in the Boolean central limit theorem
- Distributionally Robust Stochastic Programming
- On the rate of convergence of empirical measure in $\infty $-Wasserstein distance for unbounded density function
- Importance sampling: intrinsic dimension and computational cost
- Safe navigation in adversarial environments
- Berry-Esseen type estimates for nonconventional sums
- Modeling flocks and prices: jumping particles with an attractive interaction
- Data-driven chance constrained stochastic program
- On the distance between some \(\pi\)ps sampling designs
- A functional equation whose unknown is \(\mathcal{P}([0,1])\) valued
- Information-geometric Markov chain Monte Carlo methods using diffusions
- Data-driven risk-averse stochastic optimization with Wasserstein metric
- Approximations for Probability Distributions and Stochastic Optimization Problems
- Risk measure preserving piecewise linear approximation of empirical distributions
- Data partition methodology for validation of predictive models
- Wasserstein and total variation distance between marginals of Lévy processes
- On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results
- Bayesian methods for the shape invariant model
- On the norming constants for normal maxima
- Local limit theorems via Landau-Kolmogorov inequalities
- Mass concentration in a nonlocal model of clonal selection
- Combining Push-Forward Measures and Bayes' Rule to Construct Consistent Solutions to Stochastic Inverse Problems
- Quantitative stability analysis for distributionally robust optimization with moment constraints
- New rates for exponential approximation and the theorems of Rényi and Yaglom
- Can one hear the shape of a population history?
- On the interspike-intervals of periodically-driven integrate-and-fire models
- Robust measurement of (heavy-tailed) risks: theory and implementation
- Logarithmic Sobolev inequalities in discrete product spaces
- Basic statistics for distributional symbolic variables: a new metric-based approach
- Probabilistic model validation for uncertain nonlinear systems
- Rényi divergence and the central limit theorem
- Transportation-information inequalities for Markov processes
- Convergence in distribution of random metric measure spaces (\(\Lambda \)-coalescent measure trees)
- On the distribution of the limit proportion for a two-color, randomly reinforced urn with equal reinforcement distributions
- Scaling limits of stochastic processes associated with resistance forms
- Shape classification based on interpoint distance distributions
This page was built for publication: On Choosing and Bounding Probability Metrics
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4832030)
