Lévy–Prokhorov metric

The Lévy–Prokhorov metric, often referred to as the Prokhorov metric, is a tool used in probability theory and statistics to measure the distance between two probability measures on a metric space. It provides a quantitative way to compare how "close" two probability distributions are. ### Definition: Let \( (E, d) \) be a separable measurable space with a metric \( d \).