A new metric for probability distributions
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We introduce a metric for probability distributions, which is bounded, information-theoretically motivated, and has a natural Bayesian interpretation. The square root of the well-known chi(2) distance is an asymptotic approximation to it. Moreover, it is a close relative of the capacitory discrimination and Jensen-Shannon divergence.
Endres , D M & Schindelin , J E 2003 , ' A new metric for probability distributions ' , IEEE Transactions on Information Theory , vol. 49 , no. 7 , pp. 1858- 1860 . https://doi.org/10.1109/TIT.2003.813506
IEEE Transactions on Information Theory
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