The centred heat gauge of two square-integrable probability measures is the square root of the squared Euclidean distance of their means plus the squared heat gauge of their centred versions.
In the setting of Square-Integrable Vector Fields Against a Probability Measure on Euclidean Space, and Test Functions: Standing Notation, let be the mean and the centred measure of , an element of by that clause, and let be the heat gauge on , read in dimension ; is the nonnegative square root of a nonnegative real number .
(The centred heat gauge) The centred heat gauge on is the function
the radicand being a nonnegative real number.
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