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I have many probability distributions, I need to compute the amount of overlap between two probability distributions. I don't know the type of distribution since it really depends on the data itself.

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My question is what appropriate approach that should I use for this case?

rischan
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  • You may also want to look into Kullback-Leibler distance. – stans Feb 02 '21 at 09:05
  • It is rare for such a computation to be statistically meaningful, suggesting you might mean "overlap" in some general sense that differs from that of the duplicate. If so, please explain your purpose. – whuber Feb 02 '21 at 10:13

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