Toscani-Fourier Distance on Probability Measures: Wasserstein Control, Topological Equivalence on Model Classes, and Duality

Source abstract

Comparing probability measures in machine learning trades transport geometry against computational cost: Wasserstein distances encode the geometry of $\mathbb R^d$ but require solving a transport problem, while kernel discrepancies are cheap to evaluate yet depend delicately on their test class. We study the Toscani--Fourier family $\mathrm T_{s,p}$, the weighted $L^p$ norm of the difference of two characteristic functions, as a continuous Fourier-side discrepancy on $\mathbb R^d$. For $1\le p<\infty$ we show that $d/p<s<1+d/p$ is exactly the window in which $\mathrm T_{s,p}$ is finite on $\mathcal P_p(\mathbb R^d)$, both endpoints already failing for a pair of Dirac measures, and we establish the metric, embedding, and compactness structure of the resulting space, which we prove to be complete. Duality identifies $\mathrm T_{s,p}$ as an integral probability metric over a homogeneous Fourier--Lebesgue ball, with an explicit extremizer when $1<p<\infty$. We prove the global bound $\mathrm T_{s,p}\lesssim W_p^{\,s-d/p}$, whose exponent is sharp, show that no global converse of any form can hold, and recover topological equivalence with $W_p$ on bounded-support and uniform-tail classes, together with explicit reverse moduli on bounded-support classes that improve the imported energy-kernel exponent at $p=2$. There, $\mathrm T_{s,2}$ is a constant multiple of the classical energy distance, which yields an exact finite-sample identity for the mean of the empirical discrepancy; the numerical experiments are otherwise diagnostic.