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Bounds and approximations for distributions of weighted Kolmogorov-Smirnov tests. (English) Zbl 1383.62131
Ferger, Dietmar (ed.) et al., From statistics to mathematical finance. Festschrift in honour of Winfried Stute. Cham: Springer (ISBN 978-3-319-50985-3/hbk; 978-3-319-50986-0/ebook). 235-250 (2017).
Summary: The paper is motivated by the use of weighted Kolmogorov-Smirnov (wKS) tests in Gene Set Enrichment Analysis where the key requirements are speed and accuracy of computations. We reduce the problem of finding of distributions of one- and two-sided wKS statistics to the nonlinear boundary crossing problem for a Brownian motion. Theoretical estimates of accuracy of the approximations using piecewise linear boundaries are derived. The approximations with 2-knot piecewise linear boundaries are discussed for the one-sided wKS. In the numerical example the estimates of tail probabilities obtained with the use of upper and lower bounds were validated using Monte-Carlo simulation.
For the entire collection see [Zbl 1383.62010].

MSC:
62G10 Nonparametric hypothesis testing
62P10 Applications of statistics to biology and medical sciences; meta analysis
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