Consider the case where we have two Gaussian distributions and we are trying to find the area of overlap between them. This is also called the Overlapping Coefficient and I think it is also related to the Weitzman Measure.

I am wondering about a specific limiting case when one (but not the other) of the Gaussians has a variance of zero, i.e. the PDF is a unit impulse function. In this case what would be the Overlapping Coefficient?

My intuition is that it will be zero, but I am not sure.

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#### Best Answer

It must be something like this: $int_{-infty}^infty f_{mu_1,sigma_1^2}(x)delta(x-mu_2)dx=f_{mu_1,sigma_1^2}(mu_2)$, where $mu$ and $sigma^2$ are mean and variance of gaussians.

UPDATE. The above is wrong. The answer is ZERO. Here's why.

Two gaussians: fat and thin, different means. They'll intersect in exactly two points. Between the points the thin is above fat, beyond the points the fat is over thin. As we make thin thinner, these two points approach each other, and the area beyond the points keeps shrinking. In the limit it disappears completely, all the area of the thin gaussian will be above the fat gaussian. The max point of thin goes to infinity, so all the area will be concentrated above the fat gaussian.

I'm sure it's possible to put this in formulas.

UPDATE 2: @whuber showed how this can be easily proved. He computes the area of the thin gaussian, given that it is below the highest point of the fat gaussian; and shows that it shrinks to zero. This area covers the area of the overlap.

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