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So, I wanted to cook up a statistic that was similar to the Wasserstein metric for finite sized samples from distributions on a continuous support that is also invariant to reparameterization of the 1-d support space. I'm familiar with the KS test (and its drawbacks), and aware of the Anderson-Darling and Cramér-von Mises statistics, but this isn't either of those. I'm also aware of several F-divergences, but those only seem to be reparameterization invariant when $Q$ is not en empirical distribution function (I'm happy to be corrected on this point).

First, let $S_1$ be a sample with $M$ continuous random variates, and let $S_2$ be a similar sample with $N$. Label the values from $S_j$ as $x_{ji}$. If we combine the variates into a single set $S$, sort it, we can then construct a curve (a sequence of points connected by straight lines) in the first quadrant unit square as follows (using pseudo-Python):

lastpoint = [0.0, 0.0]
curve = [ lastpoint ]
for x in S:
  newpoint = copy(lastpoint)
  if firstIndex(x) == 1:
    newpoint[0] += 1/N
  else: #firstIndex(x) == 2
    newpoint[1] += 1/M
  curve.append(newpoint)
  lastpoint = newpoint

If $S_i$ was drawn from a distribution with CDF $F_i(x)$, then this curve would, in the infinite sample limit, converge to the parameteric curve $(x,y) = (F_1(t), F_2(t))$ (equivalently, it's the plot of $y=F_2(F_1^{-1}(x))$). Naturally, if $F_1=F_2$ then the curve will be on the line $y=x$, so we can construct statistics from comparing $(F_1(t), F_2(t))$ to $y=x$ and they'll be obviously reparameterization invariant.

The simple statistic I had in mind was total unsigned area enclosed between the curves $y=x$ and $(F_1(t), F_2(t))$ in the unit square. As an integral, that's \begin{align} D &= \int_0^1 \left| x - F_2\left(F_1^{-1}(x)\right)\right| \,\mathrm{d}x. \end{align} This is obviously different from Anderson–Darling and Cramér–von Mises, because it's not quadratic. The construction is so obvious and simple, though, that I can't imagine it hasn't been done already. Sadly, I don't have access to the articles linked in the Anderson-Darling Wikipedia article (EDF Statistics for Goodness of Fit and Some Comparisons seems particularly apt).

My motive? Pure curiosity. Ideally, I'd like it to be useful, but the application I have in mind needs it to be differentiable with respect to some parameters that feed in to generating one of the samples. This statistic defined above would only change when a variate from sample 1 crossed a variate from sample 2 in $x$-space, making it continuous only if either of samples 1 or 2 are infinite in size. It would be possible to make the empirical $F_1$ or $F_2$ continuous by using a smooth empirical distribution function (EDF), instead of a stair-step one, but that requires considering details about the support of the distributions, and that's outside of the scope of this question.

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1 Answer 1

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What you describe is reminiscent of "Probability Plotting". See D’Agostino & Stephens (1986), section 2.3. In that section (2.3.1), they define a probability plot as that of $G^{-1}\left(F(x_i)\right)$ against $x_i$ for ordered $X$. Their initial recommendation (2.3.3) is to æsthetically determine how "close" it is to a straight line. However, for certain distributions, the slope and intercept have direct relationships with the distributional parameters. While they do not give your statistic a name, in Chapter 5, they describe regression methods for finding parameters which are intended to minimize the distance between the probability plot and $y=x$ (see 5.1). To be fair, regression is minimizing squared error and not absolute error.

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    $\begingroup$ Interesting. This one works in the dual space (i.e. it's not probability versus probability, but $x_1$ vs $x_2$), which would make it maximally reparameterization covariant. I'm also not seeing how this version could be used to compare two ecdfs (maybe using a similar procedure of merge, sort, step through combined list updating $x$ and $y$ as you go). It would probably be more sensitive to variations on the tails, though, which can be good and bad... $\endgroup$
    – Sean Lake
    Commented Nov 9, 2022 at 0:47

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