The Fréchet distance between multivariate normal distributions

D. C. Dowson and B. V. Landau

Journal of Multivariate Analysis, 1982, vol. 12, issue 3, 450-455

Abstract: The Fréchet distance between two multivariate normal distributions having means [mu]X, [mu]Y and covariance matrices [Sigma]X, [Sigma]Y is shown to be given by d2 = [mu]X - [mu]Y2 + tr([Sigma]X + [Sigma]Y - 2([Sigma]X[Sigma]Y)1/2). The quantity d0 given by d02 = tr([Sigma]X + [Sigma]Y - 2([Sigma]X[Sigma]Y)1/2) is a natural metric on the space of real covariance matrices of given order.

Keywords: Frechet; distance; multivariate; normal; distributions; covariance; matrices (search for similar items in EconPapers)
Date: 1982
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Citations: View citations in EconPapers (16)

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