I need to calculate the coefficient of the Kolmogorov-Smirnov test for any given null hypothesis rejection level.

For example, have a look at the table in this wikipedia entry. It only gives $c(\alpha)$ for $\alpha=0.10, 0.05, 0.025, 0.01, 0.005, 0.001$. How can I calculate $c(\alpha)$ for a wider range of $\alpha$s?

If it is not trivial, can any one guide me on a place I can find a table for $c(\alpha)$ with larger $\alpha$ values?

Thanks in advance.

  • $\begingroup$ Normally people use programs which can supply p-values. Note also that for small samples, those values in that table are only approximate. You may find this answer of some value: How do I find values not given in (/interpolate in) statistical tables?. Alternatively, this might be of some value. $\endgroup$ – Glen_b Nov 5 '13 at 10:55
  • $\begingroup$ Thank you very much for the references, I will definitely take a good look through them to learn more. I think I found my answer in the answer to this question: stats.stackexchange.com/questions/13709/… (Marsaglia, et al. (2003)). I read it and found a nice C code (that is the language I am working in) to give me the probability. It works fast and nice. $\endgroup$ – astroboy Nov 5 '13 at 11:13
  • $\begingroup$ An alternative (and more easily accessible) link to the original paper should be here. Note that the tables given there are quite extensive. The $L(z)$ values correspond to $(1-\alpha)$ and the $z$ to $c(\alpha)$. $\endgroup$ – Glen_b Nov 5 '13 at 11:17

I found this paper (Marsaglia, et al. (2003)), that has a method to approximate the probability of obtaining a certain $D_n$ for a certain number of data. It Also has a C program that I used in my program and worked excellently.


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