Feature request for one and two sample Kolmogorov-Smirnov test as well as
Lilliefors test
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Key: MATH-228
URL: https://issues.apache.org/jira/browse/MATH-228
Project: Commons Math
Issue Type: New Feature
Affects Versions: 2.0
Environment: All
Reporter: Anirban Basu
Priority: Minor
Fix For: 2.0
It would be very helpful to have implementations of one and two sample
[Kolmogorov-Smirnov test|http://en.wikipedia.org/wiki/Kolmogorov-Smirnov_test]
as well as [Lilliefors test|http://en.wikipedia.org/wiki/Lilliefors_test] with
MATLAB-style results in future versions of Commons Math.
For example, Lilliefors test on sample data:
sampleVector = [0.0033413022337048857, 0.008527692135731013,
-0.004902763950955454, 0.033018433100296396, -0.020495504044139023,
0.003978726052913162, 0.003847972673931109, 0.009160477945515444,
-0.011113437653216639, -0.01164235145079795, 0.017180306607011864,
-0.01818483009998717, -0.010479811709006803, -0.033991339307749,
-0.007057160031600951, -1.2398497120424956E-4, 0.0026913151777877564,
0.03580425341677764, -0.006404370278251359, 0.007579083257585828,
-0.005912037207256193, 0.01241830354576745, -0.0012524631744377235,
-0.005900927958040758, 0.0028847985848513558, 0.005313417226899042,
0.018923743379700153, 0.010976836172447269, -0.017847220928846164,
0.0024067380689056783, -0.011912393656503872, -0.019985462687391875,
0.017318878212931876, 0.003592873590795409, -0.00332615776078915,
-0.018222673013956525, -0.021591768336351125];
[h, p] = lillietest(sampleVector)
Warning: P is greater than the largest tabulated value, returning 0.5.
> In lillietest at 166
h =
0
p =
0.5000
This uses Lilliefors test for normality. The test returns that h=0, i.e. the
null hypothesis that the data vector obeys Normal distribution.
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