KSgeneral

Computing P-Values of the K-S Test for (Dis)Continuous Null Distribution

Computes a p-value of the one-sample two-sided (or one-sided, as a special case) Kolmogorov-Smirnov (KS) statistic, for any fixed critical level, and an arbitrary, possibly large sample size for a pre-specified purely discrete, mixed or continuous cumulative distribution function (cdf) under the null hypothesis. If a data sample is supplied, 'KSgeneral' computes the p-value corresponding to the value of the KS test statistic computed based on the user provided data sample. The package 'KSgeneral' implements a novel, accurate and efficient method named Exact-KS-FFT, expressing the p-value as a double-boundary non-crossing probability for a homogeneous Poisson process, which is then efficiently computed using Fast Fourier Transform (FFT). The package can also be used to compute and plot the complementary cdf of the KS statistic which is known to depend on the hypothesized distribution when the latter is discontinuous (i.e. purely discrete or mixed).

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Description file content

Package
KSgeneral
Type
Package
Version
0.1.1
Title
Computing P-Values of the K-S Test for (Dis)Continuous Null Distribution
Author
Dimitrina S. Dimitrova , Vladimir K. Kaishev and Senren Tan
Maintainer
Senren Tan
Depends
R (>= 3.3.0)
SystemRequirements
fftw3 (>=3.3.4), C++11
Copyright
Copyright holders of FFTW3: Copyright (c) 2003, 2007-11 Matteo Frigo; Copyright (c) 2003, 2007-11 Massachusetts Institute of Technology
Description
Computes a p-value of the one-sample two-sided (or one-sided, as a special case) Kolmogorov-Smirnov (KS) statistic, for any fixed critical level, and an arbitrary, possibly large sample size for a pre-specified purely discrete, mixed or continuous cumulative distribution function (cdf) under the null hypothesis. If a data sample is supplied, 'KSgeneral' computes the p-value corresponding to the value of the KS test statistic computed based on the user provided data sample. The package 'KSgeneral' implements a novel, accurate and efficient method named Exact-KS-FFT, expressing the p-value as a double-boundary non-crossing probability for a homogeneous Poisson process, which is then efficiently computed using Fast Fourier Transform (FFT). The package can also be used to compute and plot the complementary cdf of the KS statistic which is known to depend on the hypothesized distribution when the latter is discontinuous (i.e. purely discrete or mixed).
License
GPL (>= 2.0)
URL
Encoding
UTF-8
LazyData
true
Imports
Rcpp (>= 0.12.12), MASS, dgof
LinkingTo
Rcpp
NeedsCompilation
yes
Packaged
2018-05-14 16:57:00 UTC; md101
Repository
CRAN
Date/Publication
2018-05-14 18:24:52 UTC

install.packages('KSgeneral')

0.1.1

4 months ago

https://github.com/raymondtsr/KSgeneral

Senren Tan

GPL (>= 2.0)

Depends on

R (>= 3.3.0)

Imports

Rcpp (>= 0.12.12), MASS, dgof

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