On choosing and bounding probability metrics
Probability
2007-05-23 v1
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.
Cite
@article{arxiv.math/0209021,
title = {On choosing and bounding probability metrics},
author = {Alison L. Gibbs and Francis Edward Su},
journal= {arXiv preprint arXiv:math/0209021},
year = {2007}
}
Comments
To appear, International Statistical Review. Related work at http://www.math.hmc.edu/~su/papers.html