Kolmogorov.cc

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#include <utl/Math.h>
#include <utl/Kolmogorov.h>

using namespace std;


namespace utl {

  double
  KolmogorovProbability(const double effectiveN, const double kolmogorovDistance)
  {
    const double sqrtN = sqrt(effectiveN);
    const double x = (sqrtN + 0.12 + 0.11/sqrtN) * kolmogorovDistance;

    const double y = -2*Sqr(x);

    double sum = 0;
    int sign = 1;
    double prev = 0;
    for (int i = 1; i < 50; ++i) {
      const double z = exp(Sqr(i) * y);
      sum += sign * z;
      sign *= -1;
      if (sum == prev)
        return 2*sum;
      prev = sum;
    }

    return 2*sum;
  }


  double
  KolmogorovProbability(const int n, const double kolmogorovDistance)
  {
    return KolmogorovProbability(double(n), kolmogorovDistance);
  }


  double
  KolmogorovProbability(const int n1, const int n2, const double kolmogorovDistance)
  {
    return KolmogorovProbability(double(n1)*n2/(n1+n2), kolmogorovDistance);
  }

}