In
mathematics
Mathematics is an area of knowledge that includes the topics of numbers, formulas and related structures, shapes and the spaces in which they are contained, and quantities and their changes. These topics are represented in modern 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 gener ...
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 settin ...
. It is named after the French mathematician
Paul Lévy and the Soviet mathematician
Yuri Vasilyevich Prokhorov
Yuri Vasilyevich Prokhorov (russian: Ю́рий Васи́льевич Про́хоров; 15 December 1929 – 16 July 2013) was a Russian mathematician, active in the field of probability theory. He was a PhD student of Andrey Kolmogorov at t ...
; Prokhorov introduced it in 1956 as a generalization of the earlier
Lévy metric In mathematics, the Lévy metric is a metric on the space of cumulative distribution functions of one-dimensional random variables. It is a special case of the Lévy–Prokhorov metric, and is named after the French mathematician Paul Lévy.
Defi ...
.
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 settin ...
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 named ...
. 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 gener ...
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 the ...
.
For a
subset
In mathematics, Set (mathematics), set ''A'' is a subset of a set ''B'' if all Element (mathematics), 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 ...
, 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 defi ...
of radius
centered at
.
The Lévy–Prokhorov metric