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From luc.maison...@free.fr
Subject Re: [MATH] Fwd: [jira] Commented: (MATH-437) Kolmogorov Smirnov Distribution
Date Tue, 16 Nov 2010 08:26:25 GMT

----- "Mikkel Meyer Andersen" <mikl@mikl.dk> a écrit :

> Dear developers,

Hi Mikkel,

> 
> We now have a working implementation of the cdf for the two-sided
> Kolmogorov Smirnov Distribution [1]. What do you think about it? Now
> both rounding (RealMatrix and its cousins) and exact (using
> BigFraction and its cousins) are provided - the exact should only be
> used for verification purposes because its way too slow in practise.
> Should the exact be removed or should be JavaDoc just reflect this
> fact clearly? I like it being there - it also gives the user to
> possibility to use it for e.g. n <= 50. On the negative side, two
> pow-functions are required (no common superclass for FieldMatrix<T>
> and RealMatrix providing multiply-functionality - unfortunately).

Two implementations are a good thing. I guess some users would be happy with an accurate one
even if it is slow.
Concerning RealMatrix/FieldMatrix, I would be happy to have more code shared, but I was not
able to do that (well, we could of course extend the Double class to implement FieldElement,
but that I guess that would be really slow).

regards,
Luc

> 
> Cheers, Mikkel.
> 
> [1]: https://issues.apache.org/jira/browse/MATH-437
> 
> ---------- Forwarded message ----------
> From: Mikkel Meyer Andersen (JIRA) <jira@apache.org>
> Date: 2010/11/16
> Subject: [jira] Commented: (MATH-437) Kolmogorov Smirnov Distribution
> To: mikl@mikl.dk
> 
> 
> 
>    [
> https://issues.apache.org/jira/browse/MATH-437?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12932361#action_12932361
> ]
> 
> Mikkel Meyer Andersen commented on MATH-437:
> --------------------------------------------
> 
> The last part of the roundedK kan be replaced with
> {{
> double pFrac = Hpower.getEntry(k - 2, k - 2);
> 
> for (int i = 1; i <= n; ++i) {
>        pFrac *= (double)i / (double)n;
> }
> 
> return pFrac;
> }}
> to get even better running time and still precise results:
> {{
> F(n, x) = F(200, 0.02):
>                                 Lecuyer (3.0 ms.) =
> 5.151982014280042E-6
>   KolmogorovSmirnovDistribution exact (760.0 ms.) =
> 5.15198201428005E-6
>   KolmogorovSmirnovDistribution !exact (16.0 ms.) =
> 5.151982014280049E-6
> -------------------------
> 
> 
> F(n, x) = F(200, 0.031111):
>                                 Lecuyer (2.0 ms.) =
> 0.012916146481628863
>  KolmogorovSmirnovDistribution exact (51902.0 ms.) =
> 0.012149763742041911
>    KolmogorovSmirnovDistribution !exact (9.0 ms.) =
> 0.012149763742041922
> -------------------------
> 
> 
> F(n, x) = F(200, 0.04):
>                                 Lecuyer (0.0 ms.) =
> 0.1067121882956352
>  KolmogorovSmirnovDistribution exact (5903.0 ms.) =
> 0.10671370113626812
>    KolmogorovSmirnovDistribution !exact (6.0 ms.) =
> 0.10671370113626813
> -------------------------
> }}
> 
> > Kolmogorov Smirnov Distribution
> > -------------------------------
> >
> >                 Key: MATH-437
> >                 URL: https://issues.apache.org/jira/browse/MATH-437
> >             Project: Commons Math
> >          Issue Type: New Feature
> >            Reporter: Mikkel Meyer Andersen
> >            Assignee: Mikkel Meyer Andersen
> >            Priority: Minor
> >         Attachments: KolmogorovSmirnovDistribution.java
> >
> >   Original Estimate: 0.25h
> >  Remaining Estimate: 0.25h
> >
> > Kolmogorov-Smirnov test (see [1]) is used to test if one sample
> against a known probability density functions or if two samples are
> from the same distribution. To evaluate the test statistic, the
> Kolmogorov-Smirnov distribution is used. Quite good asymptotics exist
> for the one-sided test, but it's more difficult for the two-sided
> test.
> > [1]: http://en.wikipedia.org/wiki/Kolmogorov%E2%80%93Smirnov_test
> 
> --
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