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What is the recommended approach to measure the similarity between two distributions of a variable—discrete and continuous? Is Bhattacharyya distance a good measure?

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    $\begingroup$ There are many ways to do this. The best method depends on your application. $\endgroup$ – user20160 Mar 12 '17 at 13:59
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    $\begingroup$ What about Hellinger, Euclid, Manhatten, Canbera, ...? Try each one out, perform some evaluation (e.g. $k$-fold cross validation), observe the results and pick the metric with the highest result. $\endgroup$ – Unhandled exception Mar 12 '17 at 15:20

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