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Published in:
2019 | OriginalPaper | Chapter
Numerical Approximations to Distributions of Weighted Kolmogorov-Smirnov Statistics via Integral Equations
Authors : Dan Wu, Lin Yee Hin, Nino Kordzakhia, Alexander Novikov
Published in: 2017 MATRIX Annals
Publisher: Springer International Publishing
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We show that the distribution of two-sided weighted Kolmogorov-Smirnov (wK-S) statistics can be obtained via the solution of the system of two Volterra type integral equations for corresponding boundary crossing probabilities for a diffusion process. Based on this result we propose a numerical approximation method for evaluating the distribution of wK-S statistics. We provide the numerical solutions to the system of the integral equations which were also verified via Monte Carlo simulations.