Open AccessEvaluating Kolmogorov's Distribution
Author(s) -
George Marsaglia,
Wai Wan Tsang,
Jingbo Wang
Publication year - 2003
Publication title -
journal of statistical software
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 7.636
H-Index - 145
ISSN - 1548-7660
DOI - 10.18637/jss.v008.i18
Subject(s) - limiting , distribution (mathematics) , kolmogorov–smirnov test , set (abstract data type) , goodness of fit , measure (data warehouse) , kolmogorov complexity , probability distribution , computer science , mathematics , statistical physics , statistics , combinatorics , physics , statistical hypothesis testing , mathematical analysis , data mining , mechanical engineering , engineering , programming language
Kolmogorov's goodness-of-fit measure, Dn , for a sample CDF has consistently been set aside for methods such as the D+n or D-n of Smirnov, primarily, it seems, because of the difficulty of computing the distribution of Dn . As far as we know, no easy way to compute that distribution has ever been provided in the 70+ years since Kolmogorov's fundamental paper. We provide one here, a C procedure that provides Pr(Dn
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