Kolmogorov-Smirnov Distribution

[bvenn]

Description

The Kolmogorov-Smirnov (KS) two-sided test statistic Dn is widely used to measure the goodness-of-fit between the empirical distribution of a set of n observations and a given continuous probability distribution. Simard & L’Ecuyer (2011) [1]

The Kolmogorov-Smirnov distribution is still missing within the FSharp.Stats probability distributions. This issue requires much domain knowledge since various approximations with different precisions were published over the years. Comparison to other packages is mandatory. Of course you can start developing in notebooks/scripts and afterwards we try to incorporate into the library.

References

• [1] Simard, R., & L’Ecuyer, P. (2011). Computing the Two-Sided Kolmogorov-Smirnov Distribution. Journal of Statistical Software, 39(11), 1–18. https://doi.org/10.18637/jss.v039.i11 @ https://www.jstatsoft.org/article/view/v039i11
• [2] https://luk.staff.ugm.ac.id/jurnal/freepdf/IJAS_3-4_2009_07_Facchinetti.pdf
• [3] https://github.com/fslaborg/FSharp.Stats/pull/177

Hints (click to expand if you need additional pointers)

• To be able to contribute to this library you'll need
  • an GitHub account
  • an IDE like Visual Studio Community or Visual Studio Code
  • dotnet 6 sdk
• to build the binaries yourself follow the instructions
• while working on the FSharp.Stats documentation (any file within https://github.com/fslaborg/FSharp.Stats/tree/developer/docs) you can navigate to the project folder with a prompt of your choice and use the command ./build watchdocs
• unit tests can be executed via ./build runtests