Levy distance between two empirical CDFs using R

I am trying to measure the distance between two empirical CDFs generated by the same random variable, but with different parameters. To do this, I would like to use the Levy distance given by:

Latex: $L(F,G):=\inf\{\varepsilon >0|F(x-\varepsilon )-\varepsilon \leq G(x)\leq F(x+\varepsilon )+\varepsilon {\mathrm  {\,for\,all\,}}x\in {\mathbb  {R}}\},$

where Fand Gare empirical CDFs with the same distribution, but with different parameters.

Is there any implementation of this metric on R? I haven't found it yet. If not, any hints on how I can implement this in R?

Thank!

+3
source share

All Articles