Mercurial > octave
view scripts/statistics/tests/kolmogorov_smirnov_test_2.m @ 3426:f8dde1807dee
[project @ 2000-01-13 08:40:00 by jwe]
author | jwe |
---|---|
date | Thu, 13 Jan 2000 08:40:53 +0000 |
parents | 781c930425fd |
children | d8b731d3f7a3 |
line wrap: on
line source
## 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_2 (x, y [, alt]) ## ## Performs a 2-sample Kolmogorov-Smirnov test of the null hypothesis ## that the samples x and y come from the same (continuous) distribution. ## I.e., if F and G are the CDFs corresponding to the x and y samples, ## respectively, then the null is that F == G. ## ## 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: Two-sample Kolmogorov-Smirnov test function [pval, ks] = kolmogorov_smirnov_test_2 (x, y, alt) if (nargin < 2 || nargin > 3) usage (strcat ("[pval, ks] = ", "kolmogorov_smirnov_test_2 (x, y [, tol])")); endif if !( is_vector (x) && is_vector (y)) error ("kolmogorov_smirnov_test_2: both x and y must be vectors."); endif if (nargin == 2) alt = "!="; else if (! isstr (alt)) error ("kolmogorov_smirnov_test_2: alt must be a string."); endif endif n_x = length (x); n_y = length (y); n = n_x * n_y / (n_x + n_y); x = reshape (x, n_x, 1); y = reshape (y, n_y, 1); [s, i] = sort ([x; y]); count (find (i <= n_x)) = 1 / n_x; count (find (i > n_x)) = - 1 / n_y; if (strcmp (alt, "!=") || strcmp (alt, "<>")) ks = sqrt (n) * max (abs (cumsum (count))); pval = 1 - kolmogorov_smirnov_cdf (ks); elseif (strcmp (alt, ">")) ks = sqrt (n) * max (cumsum (count)); pval = exp(- 2 * ks^2); elseif (strcmp(alt, "<")) ks = - sqrt (n) * min (cumsum (count)); pval = exp(- 2 * ks^2); else error (sprintf (["kolmogorov_smirnov_test_2: ", ... "option %s not recognized"], alt)); endif if (nargout == 0) printf (" pval: %g\n", pval); endif endfunction