org.apache.datasketches.quantiles.KolmogorovSmirnov Maven / Gradle / Ivy
Go to download
Show more of this group Show more artifacts with this name
Show all versions of datasketches-java Show documentation
Show all versions of datasketches-java Show documentation
Core sketch algorithms used alone and by other Java repositories in the DataSketches library.
/*
* 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.datasketches.quantiles;
/**
* Kolmogorov-Smirnov Test
* See Kolmogorov–Smirnov Test
*/
final class KolmogorovSmirnov {
//TODO This KS test will have to be redesigned to accommodate REQ sketches.
/**
* Computes the raw delta area between two quantile sketches for the
* kolmogorovSmirnovTest(DoublesSketch, DoublesSketch, double)
* method.
* @param sketch1 Input DoubleSketch 1
* @param sketch2 Input DoubleSketch 2
* @return the raw delta area between two quantile sketches
*/
public static double computeKSDelta(final DoublesSketch sketch1, final DoublesSketch sketch2) {
final DoublesSketchSortedView p = new DoublesSketchSortedView(sketch1);
final DoublesSketchSortedView q = new DoublesSketchSortedView(sketch2);
final double[] pSamplesArr = p.getQuantiles();
final double[] qSamplesArr = q.getQuantiles();
final long[] pCumWtsArr = p.getCumulativeWeights();
final long[] qCumWtsArr = q.getCumulativeWeights();
final int pSamplesArrLen = pSamplesArr.length;
final int qSamplesArrLen = qSamplesArr.length;
final double n1 = sketch1.getN();
final double n2 = sketch2.getN();
double deltaHeight = 0;
int i = 0;
int j = 0;
while ((i < pSamplesArrLen - 1) && (j < qSamplesArrLen - 1)) {
deltaHeight = Math.max(deltaHeight, Math.abs(pCumWtsArr[i] / n1 - qCumWtsArr[j] / n2));
if (pSamplesArr[i] < qSamplesArr[j]) {
i++;
} else if (qSamplesArr[j] < pSamplesArr[i]) {
j++;
} else {
i++;
j++;
}
}
deltaHeight = Math.max(deltaHeight, Math.abs(pCumWtsArr[i] / n1 - qCumWtsArr[j] / n2));
return deltaHeight;
}
/**
* Computes the adjusted delta height threshold for the
* kolmogorovSmirnovTest(DoublesSketch, DoublesSketch, double)
* method.
* This adjusts the computed threshold by the error epsilons of the two given sketches.
* @param sketch1 Input DoubleSketch 1
* @param sketch2 Input DoubleSketch 2
* @param tgtPvalue Target p-value. Typically .001 to .1, e.g., .05.
* @return the adjusted threshold to be compared with the raw delta area.
*/
public static double computeKSThreshold(final DoublesSketch sketch1,
final DoublesSketch sketch2,
final double tgtPvalue) {
final double r1 = sketch1.getNumRetained();
final double r2 = sketch2.getNumRetained();
final double alpha = tgtPvalue;
final double alphaFactor = Math.sqrt(-0.5 * Math.log(0.5 * alpha));
final double deltaAreaThreshold = alphaFactor * Math.sqrt((r1 + r2) / (r1 * r2));
final double eps1 = sketch1.getNormalizedRankError(false);
final double eps2 = sketch2.getNormalizedRankError(false);
return deltaAreaThreshold + eps1 + eps2;
}
/**
* Performs the Kolmogorov-Smirnov Test between two quantiles sketches.
* Note: if the given sketches have insufficient data or if the sketch sizes are too small,
* this will return false.
* @param sketch1 Input DoubleSketch 1
* @param sketch2 Input DoubleSketch 2
* @param tgtPvalue Target p-value. Typically .001 to .1, e.g., .05.
* @return Boolean indicating whether we can reject the null hypothesis (that the sketches
* reflect the same underlying distribution) using the provided tgtPValue.
*/
public static boolean kolmogorovSmirnovTest(final DoublesSketch sketch1,
final DoublesSketch sketch2, final double tgtPvalue) {
final double delta = computeKSDelta(sketch1, sketch2);
final double thresh = computeKSThreshold(sketch1, sketch2, tgtPvalue);
return delta > thresh;
}
}
© 2015 - 2024 Weber Informatics LLC | Privacy Policy