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The Kolmogorov-Smirnov test statistic D_n is defined by
D_n = sup_x |F(x) - S_n(x)|
where n is the sample size, F(x) is a completely specified theoretical
distribution, and S_n(x) is an empirical distribution function.
This package defines two functions placed in the namespace "kstest".
The function
double KScdf(unsigned n, double x);
computes the cumulative probability P[D_n <= x] of the 2-sided
1-sample Kolmogorov-Smirnov distribution with sample size n at x.
It returns at least 13 decimal digits of precision for n <= 500,
at least 7 decimal digits of precision for 500 < n <= 100000,
and a few correct decimal digits for n > 100000.
The function
double KSfbar(unsigned n, double x);
computes the complementary cumulative probability P[D_n > x] of the
2-sided 1-sample Kolmogorov-Smirnov distribution with sample size n at x.
It returns at least 10 decimal digits of precision for n <= 500,
at least 6 decimal digits of precision for 500 < n <= 200000,
and a few correct decimal digits for n > 200000.
The program "kscalc" in the "examples" directory takes values of n and x
from the command line and prints the values returned by "KScdf" and "KSfbar"
to the standard output.
If you find this software useful, please cite
@article{tSIM11a,
author = {R. Simard and P. L'Ecuyer},
title = {Computing the Two-Sided {Kolmogorov-Smirnov} Distribution},
journal = {Journal of Statistical Software},
volume = {39},
number = {11},
note = {URL is \url{http://www.jstatsoft.org/v39/i11}},
OPTpages = {1--18},
year = {2011}
}
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