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
The Kolmogorov distance of two probability distributions
is computed.
concept
distance
References
Huber, P.J. (1981) Robust Statistics. New York: Wiley.
Rieder, H. (1994) Robust Asymptotic Statistics. New York: Springer.