I thought about that but didn’t try it—maybe the sum of the absolute difference would work well. I’d tried KS distance, and also taking sum(sum(P(x > y) over y) over x), and wasn’t happy with either.
I think I didn’t like the supremum part of the KS distance (which it looks like Total Variation has too) - felt like using just the supremum was using too little information. But it might have worked out anyway.
I thought about that but didn’t try it—maybe the sum of the absolute difference would work well. I’d tried KS distance, and also taking sum(sum(P(x > y) over y) over x), and wasn’t happy with either.
Why not the Total Variation norm? KS distance is also a good candidate.
I think I didn’t like the supremum part of the KS distance (which it looks like Total Variation has too) - felt like using just the supremum was using too little information. But it might have worked out anyway.