How to Measure the Distance Between Two Distributions?

[danik_ejik]

Hello,
I've some two distributions,
how can I find the distance between those two distributions?

is the difference between the mean values would be the distance ?

 

[chiro]

Hello,
I've some two distributions,
how can I find the distance between those two distributions?

is the difference between the mean values would be the distance ?

Hey there.

I'm not exactly sure what you mean by distance.

If you are talking about expectation of variance for example you need to specify things like what distribution your RV's are, if they have any dependence on each other and so on.

Like I said, try to be clearer in stating what you are trying to find out.

 

[bpet]

Hello,
I've some two distributions,
how can I find the distance between those two distributions?

is the difference between the mean values would be the distance ?

Usually a "distance" measure would be defined to satisfy the axioms of a metric - which the difference of means doesn't, because distinct distributions can have the same mean.

One popular distance measure is the Kolmogorov-Smirnov distance which is effectively the maximum difference between the CDFs of the distributions.