Alternative Kolmogorov-Smirnov Approximation (One-sided)

uunet!aol.com!Kbwms uunet!aol.com!Kbwms
Mon Jan 15 13:15:22 PST 1996


To: numeric-interestavalidgh.com

	I am seeking a reasonably accurate (4-6 decimals) and fast
approximation to the Kolmogorov-Smirnov probability distribution
function.  I have a function written in C of the exact (explicit)
expression due the Birnbaum and Tingey [1].  For large N, it is
too slow, "large" being greater than 100.  Further, the asymptotic
expressions due to Smirnov [2] and Darling [3] do not provide the
accuracy.  I have also tried an expression attributed by Dudewicz
and Ralley [4] to W. Feller [5] which I found to be unstable.  The
approximation in Press, et al [6] is also unsuitable.

	Any further leads would be appreciated.

K.B. Williams		Kbwmsaaol.com
802 South Ridge Drive
Stillwater, OK 74074
(405) 372-7176

1. Z. W. Birnbaum and Fred H. Tingey, "One-sided confidence contours
   for probability distribution functions," Annals of Mathematical
   Statistics, 22 (1951), pp. 592-596.
2. N. V. Smirnov, "On the derivations of the empirical distribution
   curve, Math. Sbornik, vol 6. (48) (1939), pp 2-26.
3. D. A. Darling, "On the Theorems of Kolmogorov-Smirnov," Theory
   of Probability and Its Applications, vol. 5, no. 4, (1960),
   pp 356-361.
4. Edward J. Dudewicz and Thomas G. Ralley, The Handbook of Random
   Number Generation and Testing with TESTRAND Computer Code,
   American Sciences Press, Columbus, OH, (1981).
5. W. Feller, "On the Kolmogorov-Smirnov Theorems," Annals of Mathe-
   matical Statistics," 19 (1948), 177-189.
6. William H. Press, et al, _Numerical Recipes in C_, Second Edition,
   Cambridge University Press, New York (1992), pp 623-628.




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