In mathematics, the Wasserstein or Kantorovich–Rubinstein metric or distance is a distance function defined between probability distributions on a given metric space M {\displaystyle M} M.
Intuitively, if each distribution is viewed as a unit amount of "dirt" piled on M {\displaystyle M} M, the metric is the minimum "cost" of turning one pile into the other, which is assumed to be the amount of dirt that needs to be moved times the mean distance it has to be moved. Because of this analogy, the metric is known in computer science as the earth mover's distance.
In statistics, the Bhattacharyya distance measures the similarity of two probability distributions. It is closely related to the Bhattacharyya coefficient which is a measure of the amount of overlap between two statistical samples or populations. Both measures are named after Anil Kumar Bhattacharya, a statistician who worked in the 1930s at the Indian Statistical Institute.[1]
The coefficient can be used to determine the relative closeness of the two samples being considered. It is used to measure the separability of classes in classification and it is considered to be more reliable than the Mahalanobis distance, as the Mahalanobis distance is a particular case of the Bhattacharyya distance when the standard deviations of the two classes are the same. Consequently, when two classes have similar means but different standard deviations, the Mahalanobis distance would tend to zero, whereas the Bhattacharyya distance grows depending on the difference between the standard deviations.
In probability theory and statistics, the Jensen–Shannon divergence is a method of measuring the similarity between two probability distributions. It is also known as information radius (IRad)[1] or total divergence to the average.[2] It is based on the Kullback–Leibler divergence, with some notable (and useful) differences, including that it is symmetric and it always has a finite value. The square root of the Jensen–Shannon divergence is a metric often referred to as Jensen-Shannon distance.[3][4][5]