Total variation distance of probability measures
In probability theory, the total variation distance is a distance measure for probability distributions. It is an example of a statistical distance metric, and is sometimes just called "the" statistical distance.
Informally, this is the largest possible difference between the probabilities that the two probability distributions can assign to the same event.
Similarly, for arbitrary sample space , measure , and probability measures and with Radon-Nikodym derivatives and with respect to , an equivalent definition of the total variation distance is
Relationship with other concepts
- Chatterjee, Sourav. "Distances between probability measures" (PDF). UC Berkeley. Retrieved 21 June 2013.[dead link]
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