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
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 ...
. Let
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 ...
.
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 ...
, define the
ε-neighborhood of
by
:
where
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
centered at
.
The Lévy–Prokhorov metric
is complete. In particular, this is the case if
metric''.
be separable. Then
*
th moment.