Skip to main content
3 of 4
added MathJax
Martin Sleziak
  • 4.7k
  • 4
  • 35
  • 40

If both probability measures have smooth densities, the total variation can be bounded by Wasserstein (even by a weaker metric Levy-Prokhorov), see this paper.

More precisely, see Lemma 5.1 and proof of Theorem 2.1. The basic idea is given below.

If both $p$ and $q$ are smooth densities, $d_V(p, p_\gamma)$ and $d_V(q, q_\gamma)$ are sufficiently small for every small gamma, where $d_V$ is the total variation and $p_\gamma$ is a convolution of p and the uniform density as defined in the paper.

Note that $d_V(p, q) < d_V(p, p_\gamma) + d_V(p_\gamma, q_\gamma) + d_v(q_\gamma, q)$ by the triangle inequality.

Lemma 5.1 guarantees that if $p$ and $q$ are close in Levy-Prokhorov metric, then $d_V(p_\gamma, q_\gamma)$ is also small provided that $\gamma$ is much bigger than the Levy-Prochorov distance.