1 research outputs found
Fast calculation of p-values for one-sided Kolmogorov-Smirnov type statistics
We present a method for computing exact p-values for a large family of
one-sided continuous goodness-of-fit statistics. This includes the higher
criticism statistic, one-sided weighted Kolmogorov-Smirnov statistics, and the
one-sided Berk-Jones statistics. For a sample size of 10,000, our method takes
merely 0.15 seconds to run and it scales to sample sizes in the hundreds of
thousands. This allows practitioners working on genome-wide association studies
and other high-dimensional analyses to use exact finite-sample computations
instead of statistic-specific approximation schemes.
Our work has other applications in statistics, including power analysis,
finding alpha-level thresholds for goodness-of-fit tests, and the construction
of confidence bands for the empirical distribution function. The algorithm is
based on a reduction to the boundary-crossing probability of a pure jump
process and is also applicable to fields outside of statistics, for example in
financial risk modeling.Comment: 22 pages, 3 figures. Supplementary code is included under the
crossprob and benchmarks directorie