The qq-plot can be used to visualize how similar two distributions are (e.g. visualizing the similarity of a distribution to a normal distribution, but also to compare two artibrary data distributions). Are there any statistics that generate a more objective, numerical measure that represent their similarity (preferably in a normalized (0 <= x <= 1) form)? The Gini coefficient is for example used in economics when working with Lorenz curves; is there something for QQ-plots?
Solved – Quantifying QQ plot
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Best Answer
As I say in response to your comment on your previous question, check out the Kolmogorov-Smirnov test. It uses the maximum absolute distance between two cumulative distribution functions (alternatively conceived as the maximum absolute distance of the curve in the QQ plot from the 45-degree line) as a statistic. The KS test can be found in R using the command
ks.test()in the 'stats' library. Here's more information about its R usage.