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Posted to dev@commons.apache.org by Mikkel Meyer Andersen <mi...@mikl.dk> on 2010/11/16 08:37:37 UTC
[MATH] Fwd: [jira] Commented: (MATH-437) Kolmogorov Smirnov Distribution
Dear developers,
We now have a working implementation of the cdf for the two-sided
Kolmogorov Smirnov Distribution [1]. What do you think about it? Now
both rounding (RealMatrix and its cousins) and exact (using
BigFraction and its cousins) are provided - the exact should only be
used for verification purposes because its way too slow in practise.
Should the exact be removed or should be JavaDoc just reflect this
fact clearly? I like it being there - it also gives the user to
possibility to use it for e.g. n <= 50. On the negative side, two
pow-functions are required (no common superclass for FieldMatrix<T>
and RealMatrix providing multiply-functionality - unfortunately).
Cheers, Mikkel.
[1]: https://issues.apache.org/jira/browse/MATH-437
---------- Forwarded message ----------
From: Mikkel Meyer Andersen (JIRA) <ji...@apache.org>
Date: 2010/11/16
Subject: [jira] Commented: (MATH-437) Kolmogorov Smirnov Distribution
To: mikl@mikl.dk
[ https://issues.apache.org/jira/browse/MATH-437?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12932361#action_12932361
]
Mikkel Meyer Andersen commented on MATH-437:
--------------------------------------------
The last part of the roundedK kan be replaced with
{{
double pFrac = Hpower.getEntry(k - 2, k - 2);
for (int i = 1; i <= n; ++i) {
pFrac *= (double)i / (double)n;
}
return pFrac;
}}
to get even better running time and still precise results:
{{
F(n, x) = F(200, 0.02):
Lecuyer (3.0 ms.) = 5.151982014280042E-6
KolmogorovSmirnovDistribution exact (760.0 ms.) = 5.15198201428005E-6
KolmogorovSmirnovDistribution !exact (16.0 ms.) = 5.151982014280049E-6
-------------------------
F(n, x) = F(200, 0.031111):
Lecuyer (2.0 ms.) = 0.012916146481628863
KolmogorovSmirnovDistribution exact (51902.0 ms.) = 0.012149763742041911
KolmogorovSmirnovDistribution !exact (9.0 ms.) = 0.012149763742041922
-------------------------
F(n, x) = F(200, 0.04):
Lecuyer (0.0 ms.) = 0.1067121882956352
KolmogorovSmirnovDistribution exact (5903.0 ms.) = 0.10671370113626812
KolmogorovSmirnovDistribution !exact (6.0 ms.) = 0.10671370113626813
-------------------------
}}
> Kolmogorov Smirnov Distribution
> -------------------------------
>
> Key: MATH-437
> URL: https://issues.apache.org/jira/browse/MATH-437
> Project: Commons Math
> Issue Type: New Feature
> Reporter: Mikkel Meyer Andersen
> Assignee: Mikkel Meyer Andersen
> Priority: Minor
> Attachments: KolmogorovSmirnovDistribution.java
>
> Original Estimate: 0.25h
> Remaining Estimate: 0.25h
>
> Kolmogorov-Smirnov test (see [1]) is used to test if one sample against a known probability density functions or if two samples are from the same distribution. To evaluate the test statistic, the Kolmogorov-Smirnov distribution is used. Quite good asymptotics exist for the one-sided test, but it's more difficult for the two-sided test.
> [1]: http://en.wikipedia.org/wiki/Kolmogorov%E2%80%93Smirnov_test
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