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Added Kolmogorov-Smirnov distance function and test

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btracey
2014-09-18 16:20:10 -07:00
parent 15c954b8e0
commit c2c92a04af
2 changed files with 240 additions and 12 deletions
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157
stat_test.go
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@@ -367,6 +367,163 @@ func TestJensenShannon(t *testing.T) {
}
}
func TestKolmogorovSmirnov(t *testing.T) {
for i, test := range []struct {
x []float64
xWeights []float64
y []float64
yWeights []float64
dist float64
}{
{
dist: 0,
},
{
x: []float64{1},
dist: 1,
},
{
y: []float64{1},
dist: 1,
},
{
x: []float64{1},
xWeights: []float64{8},
dist: 1,
},
{
y: []float64{1},
yWeights: []float64{8},
dist: 1,
},
{
x: []float64{1},
xWeights: []float64{8},
y: []float64{1},
yWeights: []float64{8},
dist: 0,
},
{
x: []float64{1, 1, 1},
xWeights: []float64{2, 3, 7},
y: []float64{1},
yWeights: []float64{8},
dist: 0,
},
{
x: []float64{1, 1, 1, 1, 1},
y: []float64{1, 1, 1},
yWeights: []float64{2, 5, 2},
dist: 0,
},
{
x: []float64{1, 2, 3},
y: []float64{1, 2, 3},
dist: 0,
},
{
x: []float64{1, 2, 3},
y: []float64{1, 2, 3},
yWeights: []float64{1, 1, 1},
dist: 0,
},
{
x: []float64{1, 2, 3},
xWeights: []float64{1, 1, 1},
y: []float64{1, 2, 3},
yWeights: []float64{1, 1, 1},
dist: 0,
},
{
x: []float64{1, 2},
xWeights: []float64{2, 5},
y: []float64{1, 1, 2, 2, 2, 2, 2},
dist: 0,
},
{
x: []float64{1, 1, 2, 2, 2, 2, 2},
y: []float64{1, 2},
yWeights: []float64{2, 5},
dist: 0,
},
{
x: []float64{1, 1, 2, 2, 2},
xWeights: []float64{0.5, 1.5, 1, 2, 2},
y: []float64{1, 2},
yWeights: []float64{2, 5},
dist: 0,
},
{
x: []float64{1, 2, 3, 4},
y: []float64{5, 6},
dist: 1,
},
{
x: []float64{5, 6},
y: []float64{1, 2, 3, 4},
dist: 1,
},
{
x: []float64{5, 6},
xWeights: []float64{8, 7},
y: []float64{1, 2, 3, 4},
dist: 1,
},
{
x: []float64{5, 6},
xWeights: []float64{8, 7},
y: []float64{1, 2, 3, 4},
yWeights: []float64{9, 2, 1, 6},
dist: 1,
},
{
x: []float64{-4, 5, 6},
xWeights: []float64{0, 8, 7},
y: []float64{1, 2, 3, 4},
yWeights: []float64{9, 2, 1, 6},
dist: 1,
},
{
x: []float64{-4, -2, -2, 5, 6},
xWeights: []float64{0, 0, 0, 8, 7},
y: []float64{1, 2, 3, 4},
yWeights: []float64{9, 2, 1, 6},
dist: 1,
},
{
x: []float64{1, 2, 3},
y: []float64{1, 1, 3},
dist: 1.0 / 3.0,
},
{
x: []float64{1, 2, 3},
y: []float64{1, 3},
yWeights: []float64{2, 1},
dist: 1.0 / 3.0,
},
{
x: []float64{1, 2, 3},
xWeights: []float64{2, 2, 2},
y: []float64{1, 3},
yWeights: []float64{2, 1},
dist: 1.0 / 3.0,
},
{
x: []float64{2, 3, 4},
y: []float64{1, 5},
dist: 1.0 / 2.0,
},
} {
dist := KolmogorovSmirnov(test.x, test.xWeights, test.y, test.yWeights)
if math.Abs(dist-test.dist) > 1e-14 {
t.Errorf("Distance mismatch case %v: Expected: %v, Found: %v", i, test.dist, dist)
}
}
}
func ExampleKullbackLeibler() {
p := []float64{0.05, 0.1, 0.9, 0.05}