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Computing the Two-Sided Kolmogorov-Smirnov Distribution

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  • Simard, Richard
  • L'Ecuyer, Pierre

Abstract

We propose an algorithm to compute the cumulative distribution function of the two-sided Kolmogorov-Smirnov test statistic Dn and its complementary distribution in a fast and reliable way. Different approximations are used in different regions of n, x. Java and C programs are available.

Suggested Citation

  • Simard, Richard & L'Ecuyer, Pierre, 2011. "Computing the Two-Sided Kolmogorov-Smirnov Distribution," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 39(i11).
    • Handle: RePEc:jss:jstsof:v:039:i11
    DOI: http://hdl.handle.net/10.18637/jss.v039.i11
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