Abstract
We consider probability metrics of the following type: for a class of functions and probability measures P, Q we define A unified study of such integral probability metrics is given. We characterize the maximal class of functions that generates such a metric. Further, we show how some interesting properties of these probability metrics arise directly from conditions on the generating class of functions. The results are illustrated by several examples, including the Kolmogorov metric, the Dudley metric and the stop-loss metric.
Full Text
Paper version not known (
Free)
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call