View source for Jeffreys distance

A measure of the divergence between two [[probability distribution]]s, developed by [[Jeffreys, Harold|H. Jeffreys]].  For probability distributions on a finite set of size $n$, given by $P = (p_1,\ldots,p_n)$ and $Q = (q_1,\ldots,q_n)$, the Jeffreys distance is
$$
J(P,Q) = \sum_{i=1}^n \left( { \sqrt{p_i} - \sqrt{q_i} }\right)^2 \ .
$$

See also: [[Kullback–Leibler-type distance measures]].

====References====
* Jeffreys, Harold "An invariant form for the prior probability in estimation problems" ''Proc. R. Soc. Lond., Ser. A.'' '''186''' (1946) 453-461 {{DOI|10.1098/rspa.1946.0056}} {{ZBL|0063.03050}}