Numerically more stable computation of the p-values for the two-sample Kolmogorov-Smirnov test

02/16/2021

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by   Thomas Viehmann, et al.

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The two-sample Kolmogorov-Smirnov test is a widely used statistical test for detecting whether two samples are likely to come from the same distribution. Implementations typically recur on an article of Hodges from 1957. The advances in computation speed make it feasible to compute exact p-values for a much larger range of problem sizes, but these run into numerical stability problems from floating point operations. We provide a simple transformation of the defining recurrence for the two-side two-sample KS test that avoids this.