summaryrefslogtreecommitdiffstats
path: root/database/KolmogorovSmirnovDist.h
diff options
context:
space:
mode:
authorDaniel Baumann <daniel.baumann@progress-linux.org>2022-06-09 04:52:47 +0000
committerDaniel Baumann <daniel.baumann@progress-linux.org>2022-06-09 04:52:57 +0000
commit00151562145df50cc65e9902d52d5fa77f89fe50 (patch)
tree2737716802f6725a5074d606ec8fe5422c58a83c /database/KolmogorovSmirnovDist.h
parentReleasing debian version 1.34.1-1. (diff)
downloadnetdata-00151562145df50cc65e9902d52d5fa77f89fe50.tar.xz
netdata-00151562145df50cc65e9902d52d5fa77f89fe50.zip
Merging upstream version 1.35.0.
Signed-off-by: Daniel Baumann <daniel.baumann@progress-linux.org>
Diffstat (limited to 'database/KolmogorovSmirnovDist.h')
-rw-r--r--database/KolmogorovSmirnovDist.h91
1 files changed, 91 insertions, 0 deletions
diff --git a/database/KolmogorovSmirnovDist.h b/database/KolmogorovSmirnovDist.h
new file mode 100644
index 000000000..cf455042a
--- /dev/null
+++ b/database/KolmogorovSmirnovDist.h
@@ -0,0 +1,91 @@
+// SPDX-License-Identifier: GPL-3.0
+
+#ifndef KOLMOGOROVSMIRNOVDIST_H
+#define KOLMOGOROVSMIRNOVDIST_H
+
+#ifdef __cplusplus
+extern "C" {
+#endif
+
+
+/********************************************************************
+ *
+ * File: KolmogorovSmirnovDist.h
+ * Environment: ISO C99 or ANSI C89
+ * Author: Richard Simard
+ * Organization: DIRO, Université de Montréal
+ * Date: 1 February 2012
+ * Version 1.1
+ *
+ * Copyright March 2010 by Université de Montréal,
+ Richard Simard and Pierre L'Ecuyer
+ =====================================================================
+
+ This program is free software: you can redistribute it and/or modify
+ it under the terms of the GNU General Public License as published by
+ the Free Software Foundation, version 3 of the License.
+
+ This program is distributed in the hope that it will be useful,
+ but WITHOUT ANY WARRANTY; without even the implied warranty of
+ MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+ GNU General Public License for more details.
+
+ You should have received a copy of the GNU General Public License
+ along with this program. If not, see <http://www.gnu.org/licenses/>.
+
+ =====================================================================*/
+/*
+ *
+ * The Kolmogorov-Smirnov test statistic D_n is defined by
+ *
+ * D_n = sup_x |F(x) - S_n(x)|
+ *
+ * where n is the sample size, F(x) is a completely specified theoretical
+ * distribution, and S_n(x) is an empirical distribution function.
+ *
+ *
+ * The function
+ *
+ * double KScdf (int n, double x);
+ *
+ * computes the cumulative probability P[D_n <= x] of the 2-sided 1-sample
+ * Kolmogorov-Smirnov distribution with sample size n at x.
+ * It returns at least 13 decimal digits of precision for n <= 500,
+ * at least 7 decimal digits of precision for 500 < n <= 100000,
+ * and a few correct decimal digits for n > 100000.
+ *
+ */
+
+double KScdf (int n, double x);
+
+
+/*
+ * The function
+ *
+ * double KSfbar (int n, double x);
+ *
+ * computes the complementary cumulative probability P[D_n >= x] of the
+ * 2-sided 1-sample Kolmogorov-Smirnov distribution with sample size n at x.
+ * It returns at least 10 decimal digits of precision for n <= 500,
+ * at least 6 decimal digits of precision for 500 < n <= 200000,
+ * and a few correct decimal digits for n > 200000.
+ *
+ */
+
+double KSfbar (int n, double x);
+
+
+/*
+ * NOTE:
+ * The ISO C99 function log1p of the standard math library does not exist in
+ * ANSI C89. Here, it is programmed explicitly in KolmogorovSmirnovDist.c.
+
+ * For ANSI C89 compilers, change the preprocessor condition to make it
+ * available.
+ */
+
+#ifdef __cplusplus
+}
+#endif
+
+#endif