On Sat, Apr 21, 2018 at 7:42 PM, Corin Hoad <corinhoad@gmail.com> wrote:
Hello developers,
I recently needed an implementation of the Kolmogorov-Smirnov 2 sample test which required the incorporation of a weight associated with each element of the data. This lead me to this stackexchange answer https://stats.stackexchange.com/questions/193439/two- sample-kolmogorov-smirnov-test-with-weights where a procedure for a weighted 2-sample KS test is taken from Numerical Methods of Statistics by Monohan.
My current implementation of this can be found here:
https://github.com/brunel-physics/tact/blob/2b0ee2a28a30f014b103319118b64b e52070f001/tact/metrics.py#L198
Would there by any interest in incorporating this functionality into scipy?
I have potentially two problems: What's the definition or interpretation of the weights? Is there distribution of the test statistic correct? My guess is that it would change when weighting is introduced. I didn't find much in a brief Google search. Whether the distribution/p-value is correct could also be checked with the rejection probabilities in a simulation. Josef
Yours,
Corin Hoad
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