Opened 15 years ago

Closed 15 years ago

## #289 closed request (fixed)

# Kolmogorov Smirnov test

Reported by: | Peter | Owned by: | Peter |
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Priority: | major | Milestone: | yat 0.4 |

Component: | statistics | Version: | trunk |

Keywords: | Cc: |

### Description

I would need a function (or class) performing the Kolmogorov Smirnov test.

Does anyone know if it is implemented in GSL?

### Change History (4)

### comment:1 Changed 15 years ago by

### comment:2 Changed 15 years ago by

Some clarification:

The K-S statistic can be formulated as

max `C * |sensitivity + specificity - 1|`

where max runs over different thresholds. The constant `C`

is often chosen to be the geometrical mean of the two group sizes. In the weighted approach (see link to PNAS paper above), rather than just counting samples one calculates the sum of weights. So rather than having number of true positives one uses sum of weights of true positives and so on and so forth.

### comment:3 Changed 15 years ago by

Status: | new → assigned |
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Also it would be useful to allow weighting as they do in GSEA.

See PNAS paper