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I'm trying to measure the distance between two empirical CDFs generated by the same random variable but with different parameters. In order to do this, I would like to use the Lévy 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 F and G are empirical CDFs with the same distribution but different parameters.

Is there any implementation of this metric on R? I didn't find any so far. If not, any hints on how can i implement this in R?

Thanks!

jlhoward
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