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| Authors: | George Marsaglia, Wai Wan Tsang, Jingbo Wang | ||
| Title: | Evaluating Kolmogorov's Distribution | ||
| 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. | ||
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Page views:: 34174. Submitted: 2003-11-05. Published: 2003-11-10. |
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| Paper: |
Evaluating Kolmogorov's Distribution
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| DOI: |
10.18637/jss.v008.i18
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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) or a GPL-compatible license. |