In addition to the other excellent answers, there is a concept specifically for comparing distributions, which ought to be better known: the relative distribution. Lets say we have random variables $Y_0, Y$ with cumulative distribution functions $F_0, F$ and we want to compare them, using $F_0$ as a reference. Define $$ R = F_0(Y) $$ The distribution of the random variable $R$ is the relative distribution of $Y$, with $Y_0$ as reference. Note that we have that $F_0(Y_0)$ has always the uniform distribution (with continuous random variables, if the random variables are discrete this will be approximate). Let us look at an example. The website http://www.math.hope.edu/swanson/data/cellphone.txt gives data on the length of male and female students last phone call. Let us express the distribution of phone call length for male students, with women students as reference. [![Relative distribution of phone call length, men compared to women][1]][1] We can see immediately that men (in this college class ...) tend to have shorter phone calls than women ... and this is expressed directly, in a very direct way. On the $x$ axis is shown the proportions in the women's distribution, and we can read that, for example, for the time $T$ (whatever it is, its value is not shown) such that 20% of women's calls were shorter (or equal) to that, the relative density for men in that interval varies between 1.3-1.4 about. If we approximate (mentally from the graph) the mean relative density in that interval as 1.35, we see that the proportion of men in that interval is about 35% higher than the proportion of women. That corresponds to 27% of the men in that interval. There is a book about this method: https://www.amazon.com/Relative-Distribution-Sciences-Statistics-Behavioral/dp/0387987789 The R code for the plot is here: phone <- read.table(file="phone.txt", header=TRUE) library(reldist) men <- phone[, 1] women <- phone[, 3] reldist(men, women) title("length of mens last phonecall with women as reference") [1]: https://i.sstatic.net/v3GkW.png