 Lévy–Prokhorov metric

In mathematics, the Lévy–Prokhorov metric (sometimes known just as the Prokhorov metric) is a metric (i.e., a definition of distance) on the collection of probability measures on a given metric space.It is named after the French mathematician Paul Lévy and the Soviet mathematician Yuri Vasilyevich Prokhorov; Prokhorov introduced it in 1956 as a generalization of the earlier Lévy metric.