A P-P plot compares the empirical cumulative distribution function (ecdf) of a variable with a specified theoretical cumulative distribution function F(·). The ecdf, denoted by F n (x), is defined as ...

Citations: Todorov, Viktor, George Tauchen. 2014. Limit Theorems for the Empirical Distribution Function of Scaled Increments of Ito Semimartingales at High Frequencies. Annals of Applied Probability.