Kolmogorov-smirnov two-sample confidence level

Asked Oct 27 '14 at 08:25

Active Oct 27 '14 at 08:25

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I do not find information about how to calculate the $c(\alpha)$ "by hand" (see wikipedia article for two samples: http://en.wikipedia.org/wiki/Kolmogorov%E2%80%93Smirnov_test) for the formula: $ D_{n,m} > c(\alpha)\sqrt{\frac{n+m}{nm}} $

I would like to try different levels of $\alpha$ not included in the table provided in the article.

asked Oct 27 '14 at 08:25

user3707249

See Marsaglia et al. (2003) "Evaluating Kolmogorov's Distribution", Journal of Statistical Software, 8, 18 for calculation of the distribution of the test statistic in small samples. – Scortchi - Reinstate Monica Oct 27 '14 at 15:57
The point is that my sample sizes are really big (close to 70,000 observations each one). – user3707249 Oct 27 '14 at 16:15
So use the asymptotic distribution. – Scortchi - Reinstate Monica Oct 27 '14 at 16:27
Note that in the linked answer $K=\sqrt{\frac{nm}{n+m}}D_{n,m}$. – Scortchi - Reinstate Monica Oct 27 '14 at 19:55

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