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Authors: George Marsaglia, Wai Wan Tsang, Jingbo Wang
Title: [download]
(26347)
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]
(26347)
Evaluating Kolmogorov's Distribution
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Supplements: [download]
(3491)
k.c.zip: C program to compute Kolmogorov's distribution
(application/zip, 1.3 KB)
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Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3)
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