Distances on probability measures and random variables
type: Item
instance of: scholarly article
title: Distances on probability measures and random variables
zbMATH Open document ID: 1205.60018
published in: Journal of Mathematical Analysis and Applications
publication date: 2010-11-22T00:00:00Z
review text: Let \(S\) be a separable metric space and \(P(S)\) the set of all Borel probability measures on \(S\). The authors define a distance function \(d_w\) between points in \(P(S)\) and subsets of \(P(S)\) which they call weak distance. This distance is usually not related with a metric on \(P(S)\) and is related with the usual Prohorov metric \(\rho\) and the usual total variation distance \(d_{TV}\) by \(\rho\leq d_w\leq d_{TV}\). The authors also investigate relative compactness, tightness, Prohorov's theorem and many further aspects for this weak distance. Editorial remark: See also the Publisher's note [ibid. 159, No. 10-11, 2557 (2012; Zbl 1244.60007)].
reviewed by: Michael Voit
Mathematics Subject Classification ID: 60B10
Mathematics Subject Classification ID: 60A05
zbMATH DE Number: 5817866
zbMATH Keywords: distance of probability measures
zbMATH Keywords: weak convergence
zbMATH Keywords: compactness
zbMATH Keywords: tightness
zbMATH Keywords: total variation distance
author: B. Berckmoes
author: Robert Lowen
author: J. Van Casteren
MaRDI profile type: MaRDI publication profile
full work available at URL: j.jmaa.2010.09.006
OpenAlex ID: W2085570220
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DOI: 10.1016/J.JMAA.2010.09.006
description: scientific article; zbMATH DE number 5817866