KolmogorovDist
From distrEx v0.4-2
by Matthias Kohl
Generic function for the computation of the Kolmogorov distance of two distributions
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 $\R^m$.
- Keywords
- distribution
Usage
KolmogorovDist(e1, e2)
Arguments
- e1
- object of class
"Distribution"
- e2
- object of class
"Distribution"
Value
- A list containing the following components:
e1 object of class "Distribution"
; distribution 1e2 object of class "Distribution"
; distribution 2Kolmogorov.distance Kolmogorov distance of e1
ande2
concept
distance
References
Huber, P.J. (1981) Robust Statistics. New York: Wiley. Rieder, H. (1994) Robust Asymptotic Statistics. New York: Springer.
See Also
ContaminationSize
, TotalVarDist
,
HellingerDist
, Distribution-class
Examples
KolmogorovDist(Norm(), Gumbel())
KolmogorovDist(Norm(), Td(10))
KolmogorovDist(Norm(mean = 50, sd = sqrt(25)), Binom(size = 100))
KolmogorovDist(Pois(10), Binom(size = 20))
Community examples
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