HEPA stands for High-efficiency particulate arrestance. In plain English this means a device must be very good at filtering out particles from the air.
In order for an air purifier to qualify as a HEPA device it must meet the US government standards for efficiency and air filtration. The device must remove 99.97% of particles that are 0.3 microns in size.
HEPA filters are very good at filtering out very fine particles but have little impact on gasses and odour molecules. An air purifier must have alternative means such as an activated carbon filter or ozone generator to remove foul smells and volatile organic chemicals.