Computing the Two-Sided Kolmogorov-Smirnov Distribution

Richard Simard; Pierre L'Ecuyer

doi:10.18637/jss.v039.i11

Richard Simard, Pierre L'Ecuyer

Abstract

We propose an algorithm to compute the cumulative distribution function of the two-sided Kolmogorov-Smirnov test statistic D_n and its complementary distribution in a fast and reliable way. Different approximations are used in different regions of n, x. Java and C programs are available.

Files:

Paper Java and C source code Replication code and results Referenced previous implementations

Published:

Mar 9, 2011

DOI:

10.18637/jss.v039.i11

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How to Cite

Simard, R., & L’Ecuyer, P. (2011). Computing the Two-Sided Kolmogorov-Smirnov Distribution. Journal of Statistical Software, 39(11), 1–18. https://doi.org/10.18637/jss.v039.i11

License Information

Article: Creative Commons Attribution License (CC-BY)
Software: GPL General Public License version 2 or version 3 or a GPL-compatible license.

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