PetscProbComputeKSStatistic#

Compute the Kolmogorov-Smirnov statistic for the empirical distribution for an input vector, compared to an analytic CDF.

Synopsis#

#include "petscdt.h" 
PetscErrorCode PetscProbComputeKSStatistic(Vec v, PetscProbFunc cdf, PetscReal *alpha)

Collective

Input Parameters#

v - The data vector, blocksize is the sample dimension
cdf - The analytic CDF

Output Parameter#

alpha - The KS statisic

Notes#

The Kolmogorov-Smirnov statistic for a given cumulative distribution function \(F(x)\) is

    D_n = \sup_x \left| F_n(x) - F(x) \right|

  where $\sup_x$ is the supremum of the set of distances, and the empirical distribution function $F_n(x)$ is discrete, and given by

    F_n =  # of samples <= x / n

The empirical distribution function \(F_n(x)\) is discrete, and thus had a ``stairstep’’ cumulative distribution, making \(n\) the number of stairs. Intuitively, the statistic takes the largest absolute difference between the two distribution functions across all \(x\) values.

Level#

advanced

Location#

src/dm/dt/interface/dtprob.c

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