Modulestatistics-0.16.3.0Haskell2010

Statistics.Test.KolmogorovSmirnov

Kolmogov-Smirnov tests are non-parametric tests for assessing whether given sample could be described by distribution or whether two samples have the same distribution. It's only applicable to continuous distributions.

7 values

Packagestatistics-0.16.3.0
Exports7
LanguageHaskell2010
LicenceBSD-2-Clause
SourceKolmogorovSmirnov.hs

Kolmogorov-Smirnov test

3 declarations

valuekolmogorovSmirnovTest

:: (Distribution d, Vector v Double)
=> d
Distribution
-> v Double
Data sample
-> Maybe (Test ())

Check that sample could be described by distribution. Returns Nothing is sample is empty

This test uses Marsaglia-Tsang-Wang exact algorithm for calculation of p-value.

valuekolmogorovSmirnovTestCdf

:: Vector v Double
=> (Double -> Double)
CDF of distribution
-> v Double
Data sample
-> Maybe (Test ())

Variant of kolmogorovSmirnovTest which uses CDF in form of function.

valuekolmogorovSmirnovTest2

:: Vector v Double
=> v Double
Sample 1
-> v Double
Sample 2
-> Maybe (Test ())

Two sample Kolmogorov-Smirnov test. It tests whether two data samples could be described by the same distribution without making any assumptions about it. If either of samples is empty returns Nothing.

This test uses approximate formula for computing p-value.

Evaluate statistics

3 declarations

valuekolmogorovSmirnovCdfD

:: Vector v Double
=> (Double -> Double)
CDF function
-> v Double
Sample
-> Double

Calculate Kolmogorov's statistic D for given cumulative distribution function (CDF) and data sample. If sample is empty returns 0.

valuekolmogorovSmirnovD

:: (Distribution d, Vector v Double)
=> d
Distribution
-> v Double
Sample
-> Double

Calculate Kolmogorov's statistic D for given cumulative distribution function (CDF) and data sample. If sample is empty returns 0.

valuekolmogorovSmirnov2D

:: Vector v Double
=> v Double
First sample
-> v Double
Second sample
-> Double

Calculate Kolmogorov's statistic D for two data samples. If either of samples is empty returns 0.

Probabilities

1 declaration

valuekolmogorovSmirnovProbability

:: Int
Size of the sample
-> Double
D value
-> Double

Calculate cumulative probability function for Kolmogorov's distribution with n parameters or probability of getting value smaller than d with n-elements sample.

It uses algorithm by Marsgalia et. al. and provide at least 7-digit accuracy.

References

0 declarations

G. Marsaglia, W. W. Tsang, J. Wang (2003) Evaluating Kolmogorov's distribution, Journal of Statistical Software, American Statistical Association, vol. 8(i18).

module Statistics.Test.Types