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Evaluating Kolmogorov's Distribution

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  • Marsaglia, George
  • Tsang, Wai Wan
  • Wang, Jingbo

Abstract

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

Suggested Citation

  • Marsaglia, George & Tsang, Wai Wan & Wang, Jingbo, 2003. "Evaluating Kolmogorov's Distribution," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 8(i18).
    • Handle: RePEc:jss:jstsof:v:008:i18
    DOI: http://hdl.handle.net/10.18637/jss.v008.i18
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    References listed on IDEAS

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    1. Drew, John H. & Glen, Andrew G. & Leemis, Lawrence M., 2000. "Computing the cumulative distribution function of the Kolmogorov-Smirnov statistic," Computational Statistics & Data Analysis, Elsevier, vol. 34(1), pages 1-15, July.
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