[SciPy-User] stats.kstwobign

josef.pktd@gmai... josef.pktd@gmai...
Sat Apr 3 13:48:02 CDT 2010


Just a curious piece of information I just found:

I was looking at the asymptotic distributions for tests for structural
changes in regression with unknown break point, and found that it is
available in scipy

stats.kstwobign is the distribution of the supremum of  the absolute
value of a standard  Brownian Bridge

>>> stats.kstwobign.isf([0.01,0.05,0.1])
array([ 1.62762361,  1.35809864,  1.22384787])

gives the critical values.

I think this might be useful for quite a few supremum tests.

Josef


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