| Authors: | George Marsaglia, Wai Wan Tsang, Jingbo Wang |
| Title: | [download] (6340)Evaluating Kolmogorov's Distribution |
| Reference: | Vol. 8, Issue 18, Nov 2003 Submitted 2003-11-05, Accepted 2003-11-10 |
| Type: | Article |
| Abstract: | Kolmogorov's goodness-of-fit measure, Dn , for a sample CDF has consistently been set aside for methods such as the D+n or D-n of Smirnov, primarily, it seems, because of the difficulty of computing the distribution of Dn . As far 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. |
| Paper: | [download] (6340)Evaluating Kolmogorov's Distribution (application/pdf, 105.2 KB) |
| Supplements: | [download] (1587)k.c.zip: C program to compute Kolmogorov's distribution (application/zip, 1.3 KB) |
| Resources: | BibTeX | OAI |
