Probability Distances and Probability Metrics: Definitions

Svetlozar T. Rachev, Lev B. Klebanov, Stoyan V. Stoyanov and Frank J. Fabozzi
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Svetlozar T. Rachev: Stony Brook University, Department of Applied Mathematics and Statistics College of Business
Lev B. Klebanov: Charles University, Department of Probability and Statistics
Stoyan V. Stoyanov: EDHEC Business School EDHEC-Risk Institute
Frank J. Fabozzi: EDHEC Business School EDHEC-Risk Institute

Chapter Chapter 2 in The Methods of Distances in the Theory of Probability and Statistics, 2013, pp 11-31 from Springer

Abstract: Abstract The goals of this chapter are to: Provide examples of metrics in probability theory; Introduce formally the notions of a probability metric and a probability distance;

Keywords: Borel Subset; Hellinger Distance; Probability Metrics; Probability Distance; Finite Additivity (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-4869-3_2

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DOI: 10.1007/978-1-4614-4869-3_2

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