HOME

TheInfoList



OR:

In mathematics, the Lévy–Prokhorov metric (sometimes known just as the Prokhorov metric) is a
metric Metric or metrical may refer to: * Metric system, an internationally adopted decimal system of measurement * An adjective indicating relation to measurement in general, or a noun describing a specific type of measurement Mathematics In mathem ...
(i.e., a definition of distance) on the collection of
probability measure In mathematics, a probability measure is a real-valued function defined on a set of events in a probability space that satisfies measure properties such as ''countable additivity''. The difference between a probability measure and the more g ...
s on a given
metric space In mathematics, a metric space is a set together with a notion of '' distance'' between its elements, usually called points. The distance is measured by a function called a metric or distance function. Metric spaces are the most general sett ...
. It is named after the French mathematician Paul Lévy and the Soviet mathematician Yuri Vasilyevich Prokhorov; Prokhorov introduced it in 1956 as a generalization of the earlier Lévy metric.


Definition

Let (M, d) be a
metric space In mathematics, a metric space is a set together with a notion of '' distance'' between its elements, usually called points. The distance is measured by a function called a metric or distance function. Metric spaces are the most general sett ...
with its
Borel sigma algebra In mathematics, a Borel set is any set in a topological space that can be formed from open sets (or, equivalently, from closed sets) through the operations of countable union, countable intersection, and relative complement. Borel sets are name ...
\mathcal (M). Let \mathcal (M) denote the collection of all
probability measure In mathematics, a probability measure is a real-valued function defined on a set of events in a probability space that satisfies measure properties such as ''countable additivity''. The difference between a probability measure and the more g ...
s on the
measurable space In mathematics, a measurable space or Borel space is a basic object in measure theory. It consists of a set and a σ-algebra, which defines the subsets that will be measured. Definition Consider a set X and a σ-algebra \mathcal A on X. Then ...
(M, \mathcal (M)). For a
subset In mathematics, set ''A'' is a subset of a set ''B'' if all elements of ''A'' are also elements of ''B''; ''B'' is then a superset of ''A''. It is possible for ''A'' and ''B'' to be equal; if they are unequal, then ''A'' is a proper subset o ...
A \subseteq M, define the ε-neighborhood of A by :A^ := \ = \bigcup_ B_ (p). where B_ (p) is the
open ball In mathematics, a ball is the solid figure bounded by a ''sphere''; it is also called a solid sphere. It may be a closed ball (including the boundary points that constitute the sphere) or an open ball (excluding them). These concepts are def ...
of radius \varepsilon centered at p. The Lévy–Prokhorov metric \pi : \mathcal (M)^ \to
open Open or OPEN may refer to: Music * Open (band), Australian pop/rock band * The Open (band), English indie rock band * ''Open'' (Blues Image album), 1969 * ''Open'' (Gotthard album), 1999 * ''Open'' (Cowboy Junkies album), 2001 * ''Open'' (Y ...
or
closed A; either inequality implies the other, and (\bar)^\varepsilon = A^\varepsilon, but restricting to open sets may change the metric so defined (if M is not Polish Polish may refer to: * Anything from or related to Poland, a country in Europe * Polish language * Poles, people from Poland or of Polish descent * Polish chicken *Polish brothers (Mark Polish and Michael Polish, born 1970), American twin screenwr ...
).


Properties

* If (M, d) is separable, convergence of measures in the Lévy–Prokhorov metric is equivalent to separable space">separable, convergence of measures in the Lévy–Prokhorov metric is equivalent to metrization of the topology of weak convergence on \mathcal (M). * The metric space \left( \mathcal (M), \pi \right) is separable
separable space">separable if and only if (M, d) is separable. * If \left( \mathcal (M), \pi \right) is complete space">complete Complete may refer to: Logic * Completeness (logic) * Completeness of a theory, the property of a theory that every formula in the theory's language or its negation is provable Mathematics * The completeness of the real numbers, which implies ...
then (M, d) is complete. If all the measures in \mathcal (M) have separable support (measure theory)">support Support may refer to: Arts, entertainment, and media * Supporting character Business and finance * Support (technical analysis) * Child support * Customer support * Income Support Construction * Support (structure), or lateral support, a ...
, then the converse implication also holds: if (M, d) is complete then \left( \mathcal (M), \pi \right) is complete. In particular, this is the case if (M, d) is separable. * If (M, d) is separable and complete, a subset \mathcal \subseteq \mathcal (M) is relatively compact if and only if its \pi-closure is \pi-compact. * If (M,d) is separable space, separable, then \pi (\mu , \nu ) = \inf \ , where \alpha (X,Y) = \inf\ is the ''
Ky Fan Ky Fan (樊𰋀, , September 19, 1914 – March 22, 2010) was a Chinese-born American mathematician. He was a professor of mathematics at the University of California, Santa Barbara. Biography Fan was born in Hangzhou, the capital of Zhejiang ...
metric''.


Relation to other distances

Let (M,d) be separable. Then * \pi (\mu , \nu ) \leq \delta (\mu , \nu) , where \delta (\mu,\nu) is the
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 called the statistical distance, statistical difference or variational dist ...
* \pi (\mu , \nu)^2 \leq W_p (\mu, \nu)^p, where W_p is the
Wasserstein metric In mathematics, the Wasserstein distance or Kantorovich–Rubinstein metric is a distance function defined between probability distributions on a given metric space M. It is named after Leonid Vaseršteĭn. Intuitively, if each distribution is ...
with p\geq 1 and \mu, \nu have finite pth moment.


See also

* Lévy metric * Prokhorov's theorem *
Tightness of measures In mathematics, tightness is a concept in measure theory. The intuitive idea is that a given collection of measures does not "escape to infinity". Definitions Let (X, T) be a Hausdorff space, and let \Sigma be a σ-algebra on X that cont ...
*
weak convergence of measures In mathematics, more specifically measure theory, there are various notions of the convergence of measures. For an intuitive general sense of what is meant by ''convergence of measures'', consider a sequence of measures μ''n'' on a space, sharing ...
*
Wasserstein metric In mathematics, the Wasserstein distance or Kantorovich–Rubinstein metric is a distance function defined between probability distributions on a given metric space M. It is named after Leonid Vaseršteĭn. Intuitively, if each distribution is ...
* Radon distance *
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 called the statistical distance, statistical difference or variational dist ...


Notes


References

* * * * {{DEFAULTSORT:Levy-Prokhorov metric Measure theory Metric geometry Probability theory Paul Lévy (mathematician)