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Article: Evaluating Kolmogorov's distribution

TitleEvaluating Kolmogorov's distribution
Authors
Issue Date2003
Citation
Journal Of Statistical Software, 2003, v. 8, p. 1-4 How to Cite?
AbstractKolmogorov's goodness-of-fit measure, Dn, for a sample CDF has consistently been set aside for methods such as the Dn + or Dn - of Smirnov, primarily, it seems, because of the difficulty of computing the distribution of Dn. As fax as we know, no easy way to compute that distribution has ever been provided in the 70+ years since Kolmogorov's fundamental paper. We provide one here, a C procedure that provides Pr(Dn < d) with 13-15 digit accuracy for n ranging from 2 to at least 16000. We assess the (rather slow) approach to limiting form, and because computing time can become excessive for probabilities>.999 with n's of several thousand, we provide a quick approximation that gives accuracy to the 7th digit for such cases.
Persistent Identifierhttp://hdl.handle.net/10722/152390
ISSN
2015 Impact Factor: 2.379
2015 SCImago Journal Rankings: 2.970
References

 

DC FieldValueLanguage
dc.contributor.authorMarsaglia, Gen_US
dc.contributor.authorTsang, WWen_US
dc.contributor.authorWang, Jen_US
dc.date.accessioned2012-06-26T06:37:52Z-
dc.date.available2012-06-26T06:37:52Z-
dc.date.issued2003en_US
dc.identifier.citationJournal Of Statistical Software, 2003, v. 8, p. 1-4en_US
dc.identifier.issn1548-7660en_US
dc.identifier.urihttp://hdl.handle.net/10722/152390-
dc.description.abstractKolmogorov's goodness-of-fit measure, Dn, for a sample CDF has consistently been set aside for methods such as the Dn + or Dn - of Smirnov, primarily, it seems, because of the difficulty of computing the distribution of Dn. As fax as we know, no easy way to compute that distribution has ever been provided in the 70+ years since Kolmogorov's fundamental paper. We provide one here, a C procedure that provides Pr(Dn < d) with 13-15 digit accuracy for n ranging from 2 to at least 16000. We assess the (rather slow) approach to limiting form, and because computing time can become excessive for probabilities>.999 with n's of several thousand, we provide a quick approximation that gives accuracy to the 7th digit for such cases.en_US
dc.languageengen_US
dc.relation.ispartofJournal of Statistical Softwareen_US
dc.titleEvaluating Kolmogorov's distributionen_US
dc.typeArticleen_US
dc.identifier.emailTsang, WW:tsang@cs.hku.hken_US
dc.identifier.authorityTsang, WW=rp00179en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.scopuseid_2-s2.0-4544367274en_US
dc.identifier.hkuros85437-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-4544367274&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume8en_US
dc.identifier.spage1en_US
dc.identifier.epage4en_US
dc.identifier.scopusauthoridMarsaglia, G=6603739473en_US
dc.identifier.scopusauthoridTsang, WW=7201558521en_US
dc.identifier.scopusauthoridWang, J=7701320272en_US

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