Kolmogorov's Asymptotic Distribution

Kolmogorov's Asymptotic Distribution

The distribution function of a random variable DN distributed according to the Kolmogorov's distribution is a continuous function, F(x) = P(DN < x), given by
F(x) =
0for x ≤ 0
1 - 2 Σk=1 (-1) k-1 e -2Nk²x² for 0 < x < ∞

Function List

  • double Kolmogorov_Asymptotic_Distribution( double dn, int sample_size )

    This function returns F(x) where F(x) is described above, where sample_size = N.

Source Code

C source code is available for this routine: