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Re: Kolmogorov-Smirnov 2-sample test
*To*: mathgroup at smc.vnet.net
*Subject*: [mg111180] Re: Kolmogorov-Smirnov 2-sample test
*From*: Andy Ross <andyr at wolfram.com>
*Date*: Fri, 23 Jul 2010 07:09:11 -0400 (EDT)
Andy Ross wrote:
> Bill Rowe wrote:
>> On 7/20/10 at 3:41 AM, darreng at wolfram.com (Darren Glosemeyer) wrote:
>>
>>> Here is some code written by Andy Ross at Wolfram for the two
>>> sample Kolmogorov-Smirnov test. KolmogorovSmirnov2Sample computes
>>> the test statistic, and KSBootstrapPValue provides a bootstrap
>>> estimate of the p-value given the two data sets, the number of
>>> simulations for the estimate and the test statistic.
>>> In[1]:= empiricalCDF[data_, x_] := Length[Select[data, # <= x
>>> &]]/Length[data]
>>> In[2]:= KolmogorovSmirnov2Sample[data1_, data2_] :=
>>> Block[{sd1 = Sort[data1], sd2 = Sort[data2], e1, e2,
>>> udat = Union[Flatten[{data1, data2}]], n1 = Length[data1],
>>> n2 = Length[data2], T},
>>> e1 = empiricalCDF[sd1, #] & /@ udat;
>>> e2 = empiricalCDF[sd2, #] & /@ udat;
>>> T = Max[Abs[e1 - e2]];
>>> (1/Sqrt[n1]) (Sqrt[(n1*n2)/(n1 + n2)]) T
>>> ]
>> After looking at your code above I realized I posted a very bad
>> solution to this problem. But, it looks to me like there is a
>> problem with this code. The returned result
>>
>> (1/Sqrt[n1]) (Sqrt[(n1*n2)/(n1 + n2)]) T
>>
>> seems to have a extra factor in it. Specifically 1/Sqrt[n1].
>> Since n1 is the number of samples in the first data set,
>> including this factor means you will get a different result by
>> interchanging the order of the arguments to the function when
>> the number of samples in each data set is different. Since the
>> KS statistic is based on the maximum difference between the
>> empirical CDFs, the order in which the data sets are used in the
>> function should not matter.
>>
>
> You are absolutely correct. The factor should be removed. I believe it
> is a remnant of an incomplete copy and paste.
>
> -Andy
I've corrected the error in my code from before. The p-value
computation was giving low estimates because I was using RandomChoice
rather than RandomSample. I believe this should do the job (though
rather slowly).
empiricalCDF[data_, x_] := Length[Select[data, # <= x &]]/Length[data]
splitAtN1[udat_, n1_] := {udat[[1 ;; n1]], udat[[n1 + 1 ;; -1]]}
KolmogorovSmirnov2Sample[data1_, data2_] :=
Block[{sd1 = Sort[data1], sd2 = Sort[data2], e1, e2,
udat = Union[Flatten[{data1, data2}]], n1 = Length[data1],
n2 = Length[data2], T},
e1 = empiricalCDF[sd1, #] & /@ udat;
e2 = empiricalCDF[sd2, #] & /@ udat;
T = Max[Abs[e1 - e2]];
(Sqrt[(n1*n2)/(n1 + n2)]) T // N
]
KS2BootStrapPValue[data1_, data2_, T_, MCSamp_] :=
Block[{n1 = Length[data1], udat = Join[data1, data2], dfts},
dfts = ConstantArray[0, MCSamp];
Do[
dfts[[i]] =
KolmogorovSmirnov2Sample @@ splitAtN1[RandomSample[udat], n1]
, {i, MCSamp}
];
Length[Select[dfts, # >= T &]]/MCSamp // N
]
Example:
data1 = {0.386653, 1.10925, 0.871822, -0.266199, 2.00516, -1.48574,
-0.68592, -0.0461418, -0.29906, 0.209381};
data2 = {-0.283594, -1.08097, 0.915052, 0.448915, -0.88062, -0.140511,
-0.0812646, -1.1592, 0.138245, -0.314907};
In[41]:= KolmogorovSmirnov2Sample[data1, data2]
Out[41]= 0.67082
Using 1000 bootstrap samples...
In[42]:= KS2BootStrapPValue[data1, data2, .67082, 1000]
Out[42]= 0.791
-Andy
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