KolmogorovDist: Generic function for the computation of the Kolmogorov distance of two distributions
Description
Generic function for the computation of the Kolmogorov distance $d_\kappa$
of two distributions $P$ and $Q$ where the distributions are defined
on a finite-dimensional Euclidean space $(\R^m,{\cal B}^m)$
with ${\cal B}^m$ the Borel-$\sigma$-algebra on $R^m$.
The Kolmogorov distance is defined as
$$d_\kappa(P,Q)=\sup{|P({y\in\R^m\,|\,y\le x})-Q({y\in\R^m\,|\,y\le x})| | x\in\R^m}$$
where $\le$ is coordinatewise on $\R^m$.
Usage
KolmogorovDist(e1, e2)
Arguments
e1
object of class "Distribution"
e2
object of class "Distribution"
Value
A list containing the following components:
e1object of class "Distribution"; distribution 1
e2object of class "Distribution"; distribution 2
Kolmogorov.distanceKolmogorov distance of e1 and e2
concept
distance
References
Huber, P.J. (1981) Robust Statistics. New York: Wiley.
Rieder, H. (1994) Robust Asymptotic Statistics. New York: Springer.