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kolmogorov_smirnov_test.m
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1997-06-01
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## Copyright (C) 1995, 1996, 1997 Kurt Hornik
##
## This program is free software; you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 2, or (at your option)
## any later version.
##
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
## General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with this file. If not, write to the Free Software Foundation,
## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
## usage:
## [pval, ks] = kolmogorov_smirnov_test (x, dist [, params] [, alt])
##
##
## Performs a Kolmogorov-Smirnov test of the null hypothesis that the
## sample x comes from the (continuous) distribution dist. I.e., if F
## and G are the CDFs corresponding to the sample and dist, respectively,
## then the null is that F == G.
##
## The optional argument params contains a list of parameters of dist.
## E.g., to test whether a sample x comes from a uniform distribution on
## [2,4], use `kolmogorov_smirnov_test(x, "uniform", 2, 4)'.
##
## With the optional argument string alt, the alternative of interest
## can be selected. If alt is "!=" or "<>", the null is tested against
## the two-sided alternative F != G. In this case, the test statistic
## ks follows a two-sided Kolmogorov-Smirnov distribution.
## If alt is ">", the one-sided alternative F > G is considered,
## similarly for "<". In this case, the test statistic ks has a
## one-sided Kolmogorov-Smirnov distribution.
## The default is the two-sided case.
##
## pval is the p-value of the test.
##
## If no output argument is given, the p-value is displayed.
## Author: KH <Kurt.Hornik@ci.tuwien.ac.at>
## Description: One-sample Kolmogorov-Smirnov test
function [pval, ks] = kolmogorov_smirnov_test (x, dist, ...)
if (nargin < 2)
error (sprintf (["usage:\n\t", ...
"[pval, ks] = ", ...
"kolmogorov_smirnov_test (x, dist, [, params] [, alt])"]));
endif
if (! is_vector (x))
error ("kolmogorov_smirnov_test: x must be a vector.");
endif
n = length (x);
s = sort (x);
f = sprintf ("%s_cdf", dist);
alt = "!=";
if (nargin == 2)
z = reshape (feval (f, s), 1, n);
else
args = "";
for k = 1 : (nargin-2);
tmp = va_arg ();
if isstr (tmp)
alt = tmp;
else
args = sprintf ("%s, %g", args, tmp);
endif
endfor
z = reshape (eval (sprintf ("%s(s%s);", f, args)), 1, n);
endif
if (strcmp (alt, "!=") || strcmp (alt, "<>"))
ks = sqrt(n) * max(max([abs(z - (0:(n-1))/n); abs(z - (1:n)/n)]));
pval = 1 - kolmogorov_smirnov_cdf (ks);
elseif (strcmp (alt, ">"))
ks = sqrt(n) * max (max ([z - (0:(n-1))/n; z - (1:n)/n]));
pval = exp(- 2 * ks^2);
elseif (strcmp (alt, "<"))
ks = - sqrt(n) * min (min ([z - (0:(n-1))/n; z - (1:n)/n]));
pval = exp(- 2 * ks^2);
else
error (sprintf (["kolmogorov_smirnov_test: ", ...
"alternative %s not recognized"], alt));
endif
if (nargout == 0)
printf ("pval: %g\n", pval);
endif
endfunction