Lévy metric

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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.

Mathematics Field of study concerning quantity, patterns and change

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In mathematics, a metric or distance function is a function that defines a distance between each pair of elements of a set. A set with a metric is called a metric space. A metric induces a topology on a set, but not all topologies can be generated by a metric. A topological space whose topology can be described by a metric is called metrizable.

Cumulative distribution function probability that random variable X is less than or equal to x.

In probability theory and statistics, the cumulative distribution function (CDF) of a real-valued random variable , or just distribution function of , evaluated at , is the probability that will take a value less than or equal to .

Contents

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 (at points of discontinuity of a graph vertical segments are added), then the side-length of the largest such square is equal to L(F, G).

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References

Michiel Hazewinkel Dutch mathematician

Michiel Hazewinkel is a Dutch mathematician, and Emeritus Professor of Mathematics at the Centre for Mathematics and Computer and the University of Amsterdam, particularly known for his 1978 book Formal groups and applications and as editor of the Encyclopedia of Mathematics.

<i>Encyclopedia of Mathematics</i> encyclopedia translated from the Soviet Matematicheskaya entsiklopediya (1977), published by Ky Kluwer Academic Publishers until 2003.

The Encyclopedia of Mathematics is a large reference work in mathematics. It is available in book form and on CD-ROM.

International Standard Book Number Unique numeric book identifier

The International Standard Book Number (ISBN) is a numeric commercial book identifier which is intended to be unique. Publishers purchase ISBNs from an affiliate of the International ISBN Agency.