Phil Steitz created MATH-1310:
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Summary: Improve accuracy and performance of 2-sample
Kolmogorov-Smirnov test
Key: MATH-1310
URL: https://issues.apache.org/jira/browse/MATH-1310
Project: Commons Math
Issue Type: Bug
Affects Versions: 3.5
Reporter: Phil Steitz
Fix For: 3.6
As of 3.5, the exactP method used to compute exact p-values for 2-sample
Kolmogorov-Smirnov tests is very slow, as it is based on a naive implementation
that enumarates all n-m partitions of the combined sample. As a result, its
use is not recommended for problems where the product of the two sample sizes
exceeds 100 and the kolmogorovSmirnovTest method uses it only for samples in
this range. To handle sample size products between 100 and 10000, where the
asymptotic KS distribution can be used, this method currently uses Monte Carlo
simulation. Convergence is poor for many problem instances, resulting in
inaccurate results.
To eliminate the need for the Monte Carlo simulation and increase the
performance of exactP itself, a faster exactP implementation should be added.
This can be implemented by unwinding the recursive functions defined in Chapter
5, table 5.2 in:
Wilcox, Rand. 2012. Introduction to Robust Estimation and Hypothesis Testing,
Chapter 5, 3rd Ed. Academic Press.
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