Compute the Jeffries-Matusita distance between two probability distributions.
## S4 method for signature 'Distribution,Distribution' JeffriesMatusita(p1, p2)
p2 denote vectors of probability mass assigned by
two distributions defined on the same state space. Let
denote the fidelity similarity between
p2. Then, the
Jeffries-Matusita distance between
p2 is given by
sqrt(2 * (1 - Fidelity(p1, p2))).
The Jeffries-Matusita distance may also be expressed in terms of any of the following: Euclidean distance, Bhattacharya distance 2, and Hellinger metric. It is straightforward to arrive at any of these expressions.
The Jeffries-Matusita distance between distributions
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