- Lévy metric
In
mathematics , the Lévy metric is a metric on the space ofcumulative distribution function s of one-dimensionalrandom variable s. It is a special case of theLévy-Prokhorov metric , and is named after the Frenchmathematician Paul Pierre Lévy .Definition
Let be two cumulative distribution functions. Define the Lévy distance between them to be:
Intuitively, if between the graphs of and one inscribes squares with sides parallel to the coordinate axes (at points of discontinuity of a graph vertical segments are added), then the side-length of the largest such square is equal to .
ee also
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Lévy-Prokhorov metric
*Wasserstein metric References
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