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https://issues.apache.org/jira/browse/MATH-437?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Mikkel Meyer Andersen updated MATH-437:
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Attachment: MATH437-with-test-take-1
A proposal based on the method mainly by Marsaglia et al. optimised for extreme
values as described by Simard et al. This method delivers consistent results
comparing to R on the test cases tried.
> Kolmogorov Smirnov Distribution
> -------------------------------
>
> Key: MATH-437
> URL: https://issues.apache.org/jira/browse/MATH-437
> Project: Commons Math
> Issue Type: New Feature
> Reporter: Mikkel Meyer Andersen
> Assignee: Mikkel Meyer Andersen
> Priority: Minor
> Fix For: 3.0
>
> Attachments: MATH437-with-test-take-1
>
> Original Estimate: 0.25h
> Remaining Estimate: 0.25h
>
> 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
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