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KSTWO

KSTWO

Name


      KSTWO

Purpose


      Return the two-sided Kolmogorov-Smirnov statistic

Explanation


      Returns the Kolmogorov-Smirnov statistic and associated probability
      that two arrays of data values are drawn from the same distribution
      Algorithm taken from procedure of the same name in "Numerical
      Recipes" by Press et al., 2nd edition (1992), Chapter 14

Calling Sequence


      kstwo, data1, data2, D, prob

Input Parameters


      data1 - vector of data values, at least 4 data values must be included
              for the K-S statistic to be meaningful
      data2 - second set of data values, does not need to have the same
              number of elements as data1

Output Parameters


      D - floating scalar giving the Kolmogorov-Smirnov statistic. It
              specifies the maximum deviation between the cumulative
              distribution of the data and the supplied function
      prob - floating scalar between 0 and 1 giving the significance level of
              the K-S statistic. Small values of PROB show that the
              cumulative distribution function of DATA1 is significantly
              different from DATA2

Example


      Test whether two vectors created by the RANDOMN function likely came
      from the same distribution
      IDL> data1 = randomn(seed,40) ;Create data vectors to be
      IDL> data2 = randomn(seed,70) ;compared
      IDL> kstwo, data1, data2, D, prob & print,D,prob

Procedure Calls


      procedure PROB_KS - computes significance of K-S distribution

Revision History


      Written W. Landsman August, 1992
      FP computation of N_eff H. Ebeling/W. Landsman March 1996
      Fix for arrays containing equal values J. Ballet/W. Landsman Oct. 2001
      Fix index when maximum difference is at array end Renbin Yan Dec 2008
      Handle large number when computing N_err D. Schnitzeler/WL Sep 2010



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