50 lines
897 B
Matlab
50 lines
897 B
Matlab
function [H,prob,d] = smirnov(x1 , x2 , alpha )
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% Smirnov test for 2 distributions
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% [H,prob,d] = smirnov(x1 , x2 , alpha )
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%
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% Copyright (C) 2005 Marco Ratto
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%
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if nargin<3
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alpha = 0.05;
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end
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% empirical cdfs.
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bin = [-inf ; sort([x1;x2]) ; inf];
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ncount1 = histc (x1 , bin);
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ncount2 = histc (x2 , bin);
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cum1 = cumsum(ncount1)./sum(ncount1);
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cum2 = cumsum(ncount2)./sum(ncount2);
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cum1 = cum1(1:end-1);
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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) statistic.
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d = max(abs(cum1 - cum2));
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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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j = [1:101]';
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prob = 2 * sum((-1).^(j-1).*exp(-2*lam*lam*j.^2));
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if prob < 0 , prob = 0; end
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if prob > 1 , prob = 1; end
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H = (alpha >= prob);
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