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A note on the Lévy distance
Published online by Cambridge University Press: 14 July 2016
Abstract
The Lévy distance, L(F,G), between two distribution functions F and G has the important property that convergence of L(Fn,F) is equivalent to convergence in distribution. The fact that L(F,G) is not invariant under a change of scale has been thought to be a disadvantage. However, simple bounds on the Lévy distance between the transformed distribution functions can be found.
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- Copyright © Applied Probability Trust 1975
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