Github user sryza commented on a diff in the pull request: https://github.com/apache/spark/pull/6994#discussion_r33515526 --- Diff: mllib/src/main/scala/org/apache/spark/mllib/stat/test/KSTest.scala --- @@ -0,0 +1,191 @@ +/* + * Licensed to the Apache Software Foundation (ASF) under one or more + * contributor license agreements. See the NOTICE file distributed with + * this work for additional information regarding copyright ownership. + * The ASF licenses this file to You under the Apache License, Version 2.0 + * (the "License"); you may not use this file except in compliance with + * the License. You may obtain a copy of the License at + * + * http://www.apache.org/licenses/LICENSE-2.0 + * + * Unless required by applicable law or agreed to in writing, software + * distributed under the License is distributed on an "AS IS" BASIS, + * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + * See the License for the specific language governing permissions and + * limitations under the License. + */ + +package org.apache.spark.mllib.stat.test + +import org.apache.commons.math3.distribution.{NormalDistribution, RealDistribution} +import org.apache.commons.math3.stat.inference.KolmogorovSmirnovTest + +import org.apache.spark.rdd.RDD + +/** + * Conduct the two-sided Kolmogorov Smirnov test for data sampled from a + * continuous distribution. By comparing the largest difference between the empirical cumulative + * distribution of the sample data and the theoretical distribution we can provide a test for the + * the null hypothesis that the sample data comes from that theoretical distribution. + * For more information on KS Test: https://en.wikipedia.org/wiki/Kolmogorov%E2%80%93Smirnov_test + * + * Implementation note: We seek to implement the KS test with a minimal number of distributed + * passes. We sort the RDD, and then perform the following operations on a per-partition basis: + * calculate an empirical cumulative distribution value for each observation, and a theoretical + * cumulative distribution value. We know the latter to be correct, while the former will be off by + * a constant (how large the constant is depends on how many values precede it in other partitions). + * However, given that this constant simply shifts the ECDF upwards, but doesn't change its shape, + * and furthermore, that constant is the same within a given partition, we can pick 2 values + * in each partition that can potentially resolve to the largest global distance. Namely, we + * pick the minimum distance and the maximum distance. Additionally, we keep track of how many + * elements are in each partition. Once these three values have been returned for every partition, + * we can collect and operate locally. Locally, we can now adjust each distance by the appropriate + * constant (the cumulative sum of # of elements in the prior partitions divided by the data set + * size). Finally, we take the maximum absolute value, and this is the statistic. + */ +private[stat] object KSTest { + + // Null hypothesis for the type of KS test to be included in the result. + object NullHypothesis extends Enumeration { + type NullHypothesis = Value + val oneSampleTwoSided = Value("Sample follows theoretical distribution.") + } + + /** + * Runs a KS test for 1 set of sample data, comparing it to a theoretical distribution + * @param data `RDD[Double]` data on which to run test + * @param cdf `Double => Double` function to calculate the theoretical CDF + * @return KSTestResult summarizing the test results (pval, statistic, and null hypothesis) + */ + def testOneSample(data: RDD[Double], cdf: Double => Double): KSTestResult = { + val n = data.count().toDouble + val localData = data.sortBy(x => x).mapPartitions { part => + val partDiffs = oneSampleDifferences(part, n, cdf) // local distances --- End diff -- indent these two spaces
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