Search results
Results From The WOW.Com Content Network
In statistics, probability theory, and information theory, a statistical distance quantifies the distance between two statistical objects, which can be two random variables, or two probability distributions or samples, or the distance can be between an individual sample point and a population or a wider sample of points.
In probability and statistics, the Hellinger distance (closely related to, although different from, the Bhattacharyya distance) is used to quantify the similarity between two probability distributions. It is a type of f-divergence. The Hellinger distance is defined in terms of the Hellinger integral, which was introduced by Ernst Hellinger in 1909.
In addition to measuring the distances between curves, the Fréchet distance can also be used to measure the difference between probability distributions. For two multivariate Gaussian distributions with means and and covariance matrices and , the Fréchet distance between these distributions is given by [5]
In statistics, the Bhattacharyya distance is a quantity which represents a notion of similarity between two probability distributions. [1] It is closely related to the Bhattacharyya coefficient , which is a measure of the amount of overlap between two statistical samples or populations.
Suppose that we have two multivariate normal distributions, with means , and with (non-singular) covariance matrices,. If the two distributions have the same dimension, k, then the relative entropy between the distributions is as follows: [30]
The total variation distance is half of the L 1 distance between the probability functions: on discrete domains, this is the distance between the probability mass functions [4] (,) = | () |, and when the distributions have standard probability density functions p and q, [5]
In statistics, Gower's distance between two mixed-type objects is a similarity measure that can handle different types of data within the same dataset and is particularly useful in cluster analysis or other multivariate statistical techniques. Data can be binary, ordinal, or continuous variables.
This result generalises the earlier example of the Wasserstein distance between two point masses (at least in the case =), since a point mass can be regarded as a normal distribution with covariance matrix equal to zero, in which case the trace term disappears and only the term involving the Euclidean distance between the means remains.