On Choosing and Bounding Probability Metrics

When studying convergence of measures, an important issue is the choice of probability metric. We provide a summary and some new results concerning bounds among some important probability metrics/distances that are used by statisticians and probabilists. Knowledge of other metrics can provide a means of deriving bounds for another one in an applied problem. Considering other metrics can also provide alternate insights. We also give examples that show that rates of convergence can strongly depend on the metric chosen. Careful consideration is necessary when choosing a metric.

• Publication year

  2002

• Venue

  International Statistical Review

• Publication date

  2002-09-03

• Fields of study

  Mathematics

• Identifiers
  DOI 10.1111/j.1751-5823.2002.tb00178.xarXiv math/0209021
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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