Lévy metric
In mathematics, the Lévy metric is a metric on the space of cumulative distribution functions of one-dimensional random variables. It is a special case of the Lévy–Prokhorov metric, and is named after the French mathematician Paul Lévy.Definition
Let be two cumulative distribution functions. Define the Lévy distance between them to be
Intuitively, if between the graphs of F and G one inscribes squares with sides parallel to the coordinate axes, then the side-length of the largest such square is equal to L.
