文章基本信息

标题：Evaluating Kolmogorov's Distribution
本地全文：下载
作者：George Marsaglia ; Wai Wan Tsang ; Jingbo Wang 等
期刊名称：Journal of Statistical Software
印刷版ISSN：1548-7660
电子版ISSN：1548-7660
出版年度：2003
卷号：8
期号：1
页码：1-4
语种：English
出版社：University of California, Los Angeles
摘要：Kolmogorov's goodness-of-fit measure, D n , 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 D n . 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(D n < d) with 13-15 digit accuracy for n ranging from 2 to at least 16000. We assess the (rather slow) approach to limiting form, and because computing time can become excessive for probabilities>.999 with n's of several thousand, we provide a quick approximation that gives accuracy to the 7th digit for such cases.