commons-dev mailing list archives

Site index · List index
Message view « Date » · « Thread »
Top « Date » · « Thread »
From Mikkel Meyer Andersen <>
Subject Re: Komogorov distribution WASF Re: [jira] Commented: (MATH-431) New tests: Wilcoxon signed-rank test and Mann-Whitney U
Date Sun, 07 Nov 2010 15:10:31 GMT
2010/11/7 Phil Steitz <>:
> Switching to the right list...
> -
>>>> What we need there is a good algorithm for approximating the KS
>>>> distribution.  I have been corresponding with the author of a very good
>>>> one
>>>> with a Java implementation but have thus far failed in getting consent
>>>> to
>>>> release under ASL.  So at this point, I am looking for an alternative
>>>> good
>>>> algorithm to implement.  All suggestions / unencumbered patches welcome!
>>>> See comments on the MATH-431 for other questions.
>>> Just to be sure of what you mean:
>>> Do you want to have a two-sample Kolmogorov-Smirnov test for equality
>>> of distributions in addition to the Mann-Whitney? Or do you need the
>>> Kolmogorov-Smirnov distribution (as stated for example at
>>> ) in regards to the MATH-428? Sorry, but I'm at bit confused :-).
>> The goal is to implement the KS test for equality of distributions (or
>> homogeneity against a reference distribution).  To do that we need at
>> least
>> critical values of the Kolmogorov distribution.  The natural way for us to
>> do that would be to implement the full distribution which would be nice to
>> have in the distributions package.
>> Phil
> Have you read "Evaluating Kolmogorov’s Distribution" by Marsaglia et
> al. available on ? And do you
> think their approach would be the way to go?
> I am not sure it is best.  See the comments here:
> Phil
Thanks. It looks quite thorough, indeed. Was it the Java
implementation you didn't get a consent to release under ASL?
>>>>>> Interesting approach for the exact algorithm for Wilcoxon.  If we
>>>>>> with this, we should ack the original author of the algorithm in
>>>>>> javadoc.  Looks OK to use.
>>>>> Agree - both on the approach and legal part! Does the author need to
>>>>> sign anything but write a mail?
>>>>>>  Regarding the difference from R, what I usually do in this case
>>>>>> look
>>>>>> at the R sources to try to explain the difference.  Most likely
>>>>>> this
>>>>>> case, what is going on is they are using a different estimation
>>>>>> algorithm
>>>>>> for small n or treating ties differently.  The ranking options that
>>>>>> use
>>>>>> were largely adapted from R, so if that is the problem, it should
>>>>>> easy to
>>>>>> test.  We need to convince ourselves that ours is better or at least
>>>>>> legitimate alternative.  I will take a close look this evening,
but it
>>>>>> looks
>>>>>> like the algorithm you are using should be exact.  If we can't
>>>>>> reconcile the
>>>>>> difference with R, it would be good to find a way to validate correct
>>>>>> functioning of the algorithm by manufacturing reference data with
>>>>>> known
>>>>>> p.
>>>>> I'll try to investigate the difference, hopefully tomorrow, so that
>>>>> formal tests can be written and included.
>>>>>>> New tests: Wilcoxon signed-rank test and Mann-Whitney U
>>>>>>> -------------------------------------------------------
>>>>>>>                Key: MATH-431
>>>>>>>                URL:
>>>>>>>            Project: Commons Math
>>>>>>>         Issue Type: New Feature
>>>>>>>           Reporter: Mikkel Meyer Andersen
>>>>>>>           Assignee: Mikkel Meyer Andersen
>>>>>>>           Priority: Minor
>>>>>>>        Attachments:,,
>>>>>>>  Original Estimate: 4h
>>>>>>>  Remaining Estimate: 4h
>>>>>>> Wilcoxon signed-rank test and Mann-Whitney U are commonly used
>>>>>>> non-parametric statistical hypothesis tests (e.g. instead of
>>>>>>> t-tests
>>>>>>> when normality is not present).
>>>>>> --
>>>>>> This message is automatically generated by JIRA.
>>>>>> -
>>>>>> You can reply to this email to add a comment to the issue online.
> ---------------------------------------------------------------------
> To unsubscribe, e-mail:
> For additional commands, e-mail:

To unsubscribe, e-mail:
For additional commands, e-mail:

View raw message