another R new trick [new for me!]

While working with Andrew and a student from Dauphine on importance sampling, we wanted to assess the distribution of the resulting sample via the Kolmogorov-Smirnov measure

$\max_x |\hat{F_n}(x)-F(x)|$

where F is the target.  This distance (times √n) has an asymptotic distribution that does not depend on n, called the Kolmogorov distribution. After searching for a little while, we could not figure where this distribution was available in R. It had to, since ks.test was returning a p-value. Hopefully correct! So I looked into the ks.test function, which happens not to be entirely programmed in C, and found the line

PVAL <- 1 - if (alternative == "two.sided")
.Call(C_pKolmogorov2x, STATISTIC, n)


which means that the Kolmogorov distribution is coded as a C function C_pKolmogorov2x in R. However, I could not call the function myself.

> .Call(C_pKolmogorov2x,.3,4)


Hence, as I did not want to recode this distribution cdf, I posted the question on stackoverflow (long time no see!) and got a reply almost immediately as to use the package kolmim. Followed by the extra comment from the same person that calling the C code only required to add the path to its name, as in

> .Call(stats:::C_pKolmogorov2x,STAT=.3,n=4)
[1] 0.2292


2 Responses to “another R new trick [new for me!]”

1. See also this section, specifically that “Using foo:::f instead of foo::f allows access to unexported objects. This is generally not recommended, as the semantics of unexported objects may be changed by the package author in routine maintenance.”

2. The Kolmogorov distribution can be expressed as an alternating sum of the exponential of the negative squared summation index, so you ought to be able to approximate it with bounded and teensy weensy error with about four lines of R. …no?

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