Class KolmogorovTwoSamplesDistribution

  • All Implemented Interfaces:
    ProbabilityDistribution

    public class KolmogorovTwoSamplesDistribution
    extends Object
    implements ProbabilityDistribution
    Compute the p-values for the generalized (conditionally distribution-free) Smirnov homogeneity test. That is, \[ P(D_{m,n} \geq c | H_0) = 1 - P(D_{m,n} c | H_0) = 1 - \textup{cdf}(c) \] where \[ D_{m,n} = \max \left | S_m(x) - S_n(x) \right | \]
    See Also:
    • "Andrei M. Nikiforov, "Algorithm AS 288: Exact Smirnov Two-Sample Tests for Arbitrary Distributions," Royal Statistical Society, 1994."
    • "Jean Dickinson Gibbons, Subhabrata Chakraborti, "Section 6.3," Nonparametric Statistical Inference, 4th edition, CRC."