Energy distance is a statistical distance between probability distributions.

If X and Y are independent random vectors in Rd withcumulative distribution functions F and G respectively, then the energy distance between the distributions F and G is defined to be

where X, X' are independent and identically distributed (iid), Y, Y' are iid, is expected value, and || . || denotes the length of a vector. Energy distance characterizes the equality of distributions: D(F,G) = 0 if and only if X and Y are identically distributed. Energy distance for statistical applications was introduced in 1985 by Gbor J. Szkely, who proved that for real-valued random variables this distance is exactly twice Harald Cramr's distance:[1]

. For a simple proof of this equivalence, see Szkely and Rizzo (2005). [2] In higher dimensions, however, the two distances are different because the energy distance is rotation invariant while Cramr's distance is not. (Notice that Cramr's distance is not the same as thedistribution-free Cramer-vonMises criterion.)