kolmogorovSmirnovError

Compute the Kolmogorov-Smirnov fit statistic for a sample.

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Declaration

 totalError = kolmogorovSmirnovError(self,epsilon,zmin,zmax)

Parameters

• epsilon sample values to compare against the distribution
• zmin optional lower bound for a truncated comparison interval
• zmax optional upper bound for a truncated comparison interval

Returns

• totalError Kolmogorov-Smirnov discrepancy statistic

Discussion

This method evaluates the scaled KS discrepancy \(\left(\sqrt{n} + 0.12 + \frac{0.11}{\sqrt{n}}\right) D_n,\) where \(D_n\) is the maximum separation between the empirical CDF and the theoretical CDF. When zmin and zmax are supplied, the comparison is restricted to that interval and the theoretical CDF is renormalized there.