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The Apache Commons Math project is a library of lightweight, self-contained mathematics and statistics components addressing the most common practical problems not immediately available in the Java programming language or commons-lang.
/*
* Licensed to the Apache Software Foundation (ASF) under one or more
* contributor license agreements. See the NOTICE file distributed with
* this work for additional information regarding copyright ownership.
* The ASF licenses this file to You under the Apache License, Version 2.0
* (the "License"); you may not use this file except in compliance with
* the License. You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package org.apache.commons.math3.distribution;
import java.io.Serializable;
import java.math.BigDecimal;
import org.apache.commons.math3.exception.MathArithmeticException;
import org.apache.commons.math3.exception.NotStrictlyPositiveException;
import org.apache.commons.math3.exception.NumberIsTooLargeException;
import org.apache.commons.math3.exception.util.LocalizedFormats;
import org.apache.commons.math3.fraction.BigFraction;
import org.apache.commons.math3.fraction.BigFractionField;
import org.apache.commons.math3.fraction.FractionConversionException;
import org.apache.commons.math3.linear.Array2DRowFieldMatrix;
import org.apache.commons.math3.linear.Array2DRowRealMatrix;
import org.apache.commons.math3.linear.FieldMatrix;
import org.apache.commons.math3.linear.RealMatrix;
/**
* Implementation of the Kolmogorov-Smirnov distribution.
*
*
* Treats the distribution of the two-sided {@code P(D_n < d)} where
* {@code D_n = sup_x |G(x) - G_n (x)|} for the theoretical cdf {@code G} and
* the empirical cdf {@code G_n}.
*
*
* This implementation is based on [1] with certain quick decisions for extreme
* values given in [2].
*
*
* In short, when wanting to evaluate {@code P(D_n < d)}, the method in [1] is
* to write {@code d = (k - h) / n} for positive integer {@code k} and
* {@code 0 <= h < 1}. Then {@code P(D_n < d) = (n! / n^n) * t_kk}, where
* {@code t_kk} is the {@code (k, k)}'th entry in the special matrix
* {@code H^n}, i.e. {@code H} to the {@code n}'th power.
*
*
* References:
*
* - [1]
* Evaluating Kolmogorov's Distribution by George Marsaglia, Wai
* Wan Tsang, and Jingbo Wang
* - [2]
* Computing the Two-Sided Kolmogorov-Smirnov Distribution by Richard Simard
* and Pierre L'Ecuyer
*
* Note that [1] contains an error in computing h, refer to
* MATH-437 for details.
*
*
* @see
* Kolmogorov-Smirnov test (Wikipedia)
* @version $Id: KolmogorovSmirnovDistribution.java 1416643 2012-12-03 19:37:14Z tn $
*/
public class KolmogorovSmirnovDistribution implements Serializable {
/** Serializable version identifier. */
private static final long serialVersionUID = -4670676796862967187L;
/** Number of observations. */
private int n;
/**
* @param n Number of observations
* @throws NotStrictlyPositiveException if {@code n <= 0}
*/
public KolmogorovSmirnovDistribution(int n)
throws NotStrictlyPositiveException {
if (n <= 0) {
throw new NotStrictlyPositiveException(LocalizedFormats.NOT_POSITIVE_NUMBER_OF_SAMPLES, n);
}
this.n = n;
}
/**
* Calculates {@code P(D_n < d)} using method described in [1] with quick
* decisions for extreme values given in [2] (see above). The result is not
* exact as with
* {@link KolmogorovSmirnovDistribution#cdfExact(double)} because
* calculations are based on {@code double} rather than
* {@link org.apache.commons.math3.fraction.BigFraction}.
*
* @param d statistic
* @return the two-sided probability of {@code P(D_n < d)}
* @throws MathArithmeticException if algorithm fails to convert {@code h}
* to a {@link org.apache.commons.math3.fraction.BigFraction} in expressing
* {@code d} as {@code (k - h) / m} for integer {@code k, m} and
* {@code 0 <= h < 1}.
*/
public double cdf(double d) throws MathArithmeticException {
return this.cdf(d, false);
}
/**
* Calculates {@code P(D_n < d)} using method described in [1] with quick
* decisions for extreme values given in [2] (see above). The result is
* exact in the sense that BigFraction/BigReal is used everywhere at the
* expense of very slow execution time. Almost never choose this in real
* applications unless you are very sure; this is almost solely for
* verification purposes. Normally, you would choose
* {@link KolmogorovSmirnovDistribution#cdf(double)}
*
* @param d statistic
* @return the two-sided probability of {@code P(D_n < d)}
* @throws MathArithmeticException if algorithm fails to convert {@code h}
* to a {@link org.apache.commons.math3.fraction.BigFraction} in expressing
* {@code d} as {@code (k - h) / m} for integer {@code k, m} and
* {@code 0 <= h < 1}.
*/
public double cdfExact(double d) throws MathArithmeticException {
return this.cdf(d, true);
}
/**
* Calculates {@code P(D_n < d)} using method described in [1] with quick
* decisions for extreme values given in [2] (see above).
*
* @param d statistic
* @param exact whether the probability should be calculated exact using
* {@link org.apache.commons.math3.fraction.BigFraction} everywhere at the
* expense of very slow execution time, or if {@code double} should be used
* convenient places to gain speed. Almost never choose {@code true} in real
* applications unless you are very sure; {@code true} is almost solely for
* verification purposes.
* @return the two-sided probability of {@code P(D_n < d)}
* @throws MathArithmeticException if algorithm fails to convert {@code h}
* to a {@link org.apache.commons.math3.fraction.BigFraction} in expressing
* {@code d} as {@code (k - h) / m} for integer {@code k, m} and
* {@code 0 <= h < 1}.
*/
public double cdf(double d, boolean exact) throws MathArithmeticException {
final double ninv = 1 / ((double) n);
final double ninvhalf = 0.5 * ninv;
if (d <= ninvhalf) {
return 0;
} else if (ninvhalf < d && d <= ninv) {
double res = 1;
double f = 2 * d - ninv;
// n! f^n = n*f * (n-1)*f * ... * 1*x
for (int i = 1; i <= n; ++i) {
res *= i * f;
}
return res;
} else if (1 - ninv <= d && d < 1) {
return 1 - 2 * Math.pow(1 - d, n);
} else if (1 <= d) {
return 1;
}
return exact ? exactK(d) : roundedK(d);
}
/**
* Calculates the exact value of {@code P(D_n < d)} using method described
* in [1] and {@link org.apache.commons.math3.fraction.BigFraction} (see
* above).
*
* @param d statistic
* @return the two-sided probability of {@code P(D_n < d)}
* @throws MathArithmeticException if algorithm fails to convert {@code h}
* to a {@link org.apache.commons.math3.fraction.BigFraction} in expressing
* {@code d} as {@code (k - h) / m} for integer {@code k, m} and
* {@code 0 <= h < 1}.
*/
private double exactK(double d) throws MathArithmeticException {
final int k = (int) Math.ceil(n * d);
final FieldMatrix H = this.createH(d);
final FieldMatrix Hpower = H.power(n);
BigFraction pFrac = Hpower.getEntry(k - 1, k - 1);
for (int i = 1; i <= n; ++i) {
pFrac = pFrac.multiply(i).divide(n);
}
/*
* BigFraction.doubleValue converts numerator to double and the
* denominator to double and divides afterwards. That gives NaN quite
* easy. This does not (scale is the number of digits):
*/
return pFrac.bigDecimalValue(20, BigDecimal.ROUND_HALF_UP).doubleValue();
}
/**
* Calculates {@code P(D_n < d)} using method described in [1] and doubles
* (see above).
*
* @param d statistic
* @return the two-sided probability of {@code P(D_n < d)}
* @throws MathArithmeticException if algorithm fails to convert {@code h}
* to a {@link org.apache.commons.math3.fraction.BigFraction} in expressing
* {@code d} as {@code (k - h) / m} for integer {@code k, m} and
* {@code 0 <= h < 1}.
*/
private double roundedK(double d) throws MathArithmeticException {
final int k = (int) Math.ceil(n * d);
final FieldMatrix HBigFraction = this.createH(d);
final int m = HBigFraction.getRowDimension();
/*
* Here the rounding part comes into play: use
* RealMatrix instead of FieldMatrix
*/
final RealMatrix H = new Array2DRowRealMatrix(m, m);
for (int i = 0; i < m; ++i) {
for (int j = 0; j < m; ++j) {
H.setEntry(i, j, HBigFraction.getEntry(i, j).doubleValue());
}
}
final RealMatrix Hpower = H.power(n);
double pFrac = Hpower.getEntry(k - 1, k - 1);
for (int i = 1; i <= n; ++i) {
pFrac *= (double) i / (double) n;
}
return pFrac;
}
/***
* Creates {@code H} of size {@code m x m} as described in [1] (see above).
*
* @param d statistic
* @return H matrix
* @throws NumberIsTooLargeException if fractional part is greater than 1
* @throws FractionConversionException if algorithm fails to convert
* {@code h} to a {@link org.apache.commons.math3.fraction.BigFraction} in
* expressing {@code d} as {@code (k - h) / m} for integer {@code k, m} and
* {@code 0 <= h < 1}.
*/
private FieldMatrix createH(double d)
throws NumberIsTooLargeException, FractionConversionException {
int k = (int) Math.ceil(n * d);
int m = 2 * k - 1;
double hDouble = k - n * d;
if (hDouble >= 1) {
throw new NumberIsTooLargeException(hDouble, 1.0, false);
}
BigFraction h = null;
try {
h = new BigFraction(hDouble, 1.0e-20, 10000);
} catch (FractionConversionException e1) {
try {
h = new BigFraction(hDouble, 1.0e-10, 10000);
} catch (FractionConversionException e2) {
h = new BigFraction(hDouble, 1.0e-5, 10000);
}
}
final BigFraction[][] Hdata = new BigFraction[m][m];
/*
* Start by filling everything with either 0 or 1.
*/
for (int i = 0; i < m; ++i) {
for (int j = 0; j < m; ++j) {
if (i - j + 1 < 0) {
Hdata[i][j] = BigFraction.ZERO;
} else {
Hdata[i][j] = BigFraction.ONE;
}
}
}
/*
* Setting up power-array to avoid calculating the same value twice:
* hPowers[0] = h^1 ... hPowers[m-1] = h^m
*/
final BigFraction[] hPowers = new BigFraction[m];
hPowers[0] = h;
for (int i = 1; i < m; ++i) {
hPowers[i] = h.multiply(hPowers[i - 1]);
}
/*
* First column and last row has special values (each other reversed).
*/
for (int i = 0; i < m; ++i) {
Hdata[i][0] = Hdata[i][0].subtract(hPowers[i]);
Hdata[m - 1][i] = Hdata[m - 1][i].subtract(hPowers[m - i - 1]);
}
/*
* [1] states: "For 1/2 < h < 1 the bottom left element of the matrix
* should be (1 - 2*h^m + (2h - 1)^m )/m!" Since 0 <= h < 1, then if h >
* 1/2 is sufficient to check:
*/
if (h.compareTo(BigFraction.ONE_HALF) == 1) {
Hdata[m - 1][0] = Hdata[m - 1][0].add(h.multiply(2).subtract(1).pow(m));
}
/*
* Aside from the first column and last row, the (i, j)-th element is
* 1/(i - j + 1)! if i - j + 1 >= 0, else 0. 1's and 0's are already
* put, so only division with (i - j + 1)! is needed in the elements
* that have 1's. There is no need to calculate (i - j + 1)! and then
* divide - small steps avoid overflows.
*
* Note that i - j + 1 > 0 <=> i + 1 > j instead of j'ing all the way to
* m. Also note that it is started at g = 2 because dividing by 1 isn't
* really necessary.
*/
for (int i = 0; i < m; ++i) {
for (int j = 0; j < i + 1; ++j) {
if (i - j + 1 > 0) {
for (int g = 2; g <= i - j + 1; ++g) {
Hdata[i][j] = Hdata[i][j].divide(g);
}
}
}
}
return new Array2DRowFieldMatrix(BigFractionField.getInstance(), Hdata);
}
}