Kolmogow Smirnov Test. More...

#include <yat/statistics/KolmogorovSmirnov.h>

Classes
struct	Element
Public Member Functions
	KolmogorovSmirnov (void)
	Constructor.
void	add (double value, bool class_label, double weight=1.0)
	add a value
template<typename ForwardIterator >
void	add (ForwardIterator first, ForwardIterator last)
	add a range
double	p_value (void) const
	Large-Sample Approximation.
double	p_value (size_t perm) const
	p-value
void	reset (void)
	resets everything to zero
double	score (void) const
	Kolmogorov Smirnov statistic.
void	shuffle (void)
	shuffle class labels
double	signed_score (void) const
Friends
std::ostream &	operator<< (std::ostream &, const KolmogorovSmirnov &)
Related Functions
(Note that these are not member functions.)
std::ostream &	operator<< (std::ostream &, const KolmogorovSmirnov &)
	output operator

Detailed Description

Kolmogow Smirnov Test.

Member Function Documentation

template<typename ForwardIterator >

void theplu::yat::statistics::KolmogorovSmirnov::add	(	ForwardIterator	first,
		ForwardIterator	last
	)

add a range

value_type of ForwardIterator must be convertible to KolmogorovSmirnov::Element

Insertion takes typically N*log(N). However, if range is sorted, insertion takes linear time. A common use case of this function is when calculating several KS statistics on a data set (values and weights) with different class labels.

Since:: New in yat 0.5

double theplu::yat::statistics::KolmogorovSmirnov::p_value ( void ) const

Large-Sample Approximation.

  This analytical approximation of p-value can be used when all
  weight equal unity and sample sizes \a n and \a m are
  large. The p-value is calcuated as \form#279@_fakenl, where s is the
  scaled score:

$s = \sqrt\frac{nm}{n+m}$ score().

  \since New in yat 0.5

  Following Hollander and Wolfe

double theplu::yat::statistics::KolmogorovSmirnov::p_value ( size_t perm ) const

p-value

Performs a permutation test using perm label randomizations and calculate how often a score equal or larger than score() is obtained.

See also:: shuffle

double theplu::yat::statistics::KolmogorovSmirnov::score ( void ) const

Kolmogorov Smirnov statistic.

$sup_x | F_{\textrm{True}}(x) - F_{\textrm{False}}(x) |$ where $F(x) = \frac{\sum_{i:x_i\le x}w_i}{ \sum w_i}$

void theplu::yat::statistics::KolmogorovSmirnov::shuffle ( void )

shuffle class labels

This is equivalent to reset and re-add values with shuffled class labels.

Since:: New in yat 0.5

double theplu::yat::statistics::KolmogorovSmirnov::signed_score ( void ) const

Same as score() but keeping the sign, in other words, abs(signed_score())==score()

A positive score implies that values in class true on average are smaller than values in class false.

Since:: New in yat 0.5

The documentation for this class was generated from the following file:

yat/statistics/KolmogorovSmirnov.h

Classes

Public Member Functions

Friends

Related Functions

Detailed Description

Member Function Documentation