[MATH-437] Kolmogorov Smirnov Distribution

• Type: New Feature
• Status: Resolved
• Priority: Minor
• Resolution: Fixed
• Fix Version/s: 4.0
• Assignee: Phil Steitz
• Reporter: Mikkel Meyer Andersen
• Created: 11/Nov/10 15:09
• Updated: 24/Feb/15 22:10
• Resolved: 24/Feb/15 22:10

Description

Kolmogorov-Smirnov test (see [1]) is used to test if one sample against a known probability density functions or if two samples are from the same distribution. To evaluate the test statistic, the Kolmogorov-Smirnov distribution is used. Quite good asymptotics exist for the one-sided test, but it's more difficult for the two-sided test.

[1]: http://en.wikipedia.org/wiki/Kolmogorov%E2%80%93Smirnov_test