[jira] Updated: (MATH-437) Kolmogorov Smirnov Distribution

["Mikkel Meyer Andersen (JIRA)" <ji...@apache.org>]

     [ https://issues.apache.org/jira/browse/MATH-437?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]

Mikkel Meyer Andersen updated MATH-437:
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    Attachment: MATH437-with-test-take-1

A proposal based on the method mainly by Marsaglia et al. optimised for extreme values as described by Simard et al. This method delivers consistent results comparing to R on the test cases tried.

> 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
>             Fix For: 3.0
>
>         Attachments: MATH437-with-test-take-1
>
>   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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