Is there any optimality or other reason for the choice of the two below distances? There are surely many other possibilities (e.g. Mallow's distance), which, however, might not be as appropriate, but at the moment I do not see any reasoning.
Could you please comment/advise on this? TIA Robert Németh Hermman Rubin wrote: >In article <a3s054$h8d$[EMAIL PROTECTED]>, >Francis Dermot Sweeney <[EMAIL PROTECTED]> wrote: >>If I have two normal distributions N(m1, s1) and N(m2, s2), what is a >>good measure of the distance between them? I was thinking of something >>like a K-S distance like max|phi1-phi2|. I know it probably depende on >>what I want it for, or what exactly I mean by distance, but any ideas >>would be helpful. >If you are testing simple against simple for large samples, >you want the Cramer-Chernoff distance (see Chernoff), which >is essentially -ln(min \int f(x)^t g(x)^(1-t) dx), where f >and g are the two densities. If you are doing a sequential >test with small cost of obsrvation, the distance is given by >the pair of Kullback-Leibler numbers. >- -- >This address is for information only. I do not claim that these views >are those of the Statistics Department or of Purdue University. >Herman Rubin, Dept. of Statistics, Purdue Univ., West Lafayette IN47907-1399 >[EMAIL PROTECTED] Phone: (765)494-6054 FAX: (765)494-0558 ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at http://jse.stat.ncsu.edu/ =================================================================
