83 lines
1.9 KiB
Matlab
83 lines
1.9 KiB
Matlab
function [H,prob,d] = smirnov_test(x1 , x2 , alpha, iflag )
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% [H,prob,d] = smirnov_test(x1 , x2 , alpha, iflag )
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% Smirnov test for 2 distributions
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% Written by Marco Ratto
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% Joint Research Centre, The European Commission,
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% marco.ratto@ec.europa.eu
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% Copyright © 2012 European Commission
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% Copyright © 2012-2017 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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if nargin<3
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alpha = 0.05;
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end
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if nargin<4
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iflag=0;
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end
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% empirical cdfs.
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xmix= [x1;x2];
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bin = [-inf ; sort(xmix) ; inf];
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if isoctave
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ncount1 = histc(x1 , bin);
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else
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ncount1 = histcounts(x1 , bin);
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end
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if isoctave
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ncount2 = histc(x2 , bin);
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else
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ncount2 = histcounts(x2 , bin);
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end
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cum1 = cumsum(ncount1)./sum(ncount1);
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cum1 = cum1(1:end-1);
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cum2 = cumsum(ncount2)./sum(ncount2);
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cum2 = cum2(1:end-1);
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n1= length(x1);
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n2= length(x2);
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n = n1*n2 /(n1+n2);
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% Compute the d(n1,n2) statistics.
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if iflag==0
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d = max(abs(cum1 - cum2));
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elseif iflag==-1
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d = max(cum2 - cum1);
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elseif iflag==1
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d = max(cum1 - cum2);
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end
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%
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% Compute P-value check H0 hypothesis
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%
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lam = max((sqrt(n) + 0.12 + 0.11/sqrt(n)) * d , 0);
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if iflag == 0
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j = [1:101]';
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prob = 2 * sum((-1).^(j-1).*exp(-2*lam*lam*j.^2));
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prob=max(prob,0);
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prob=min(1,prob);
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else
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prob = exp(-2*lam*lam);
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end
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H = (alpha >= prob);
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