## Copyright (C) 1995, 1996, 1997  Kurt Hornik
##
## This program is free software; you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 2, or (at your option)
## any later version.
##
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
## General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with this file.  If not, write to the Free Software Foundation,
## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.

## -*- texinfo -*-
## @deftypefn {Function File} {[@var{pval}, @var{ks}] =} kolmogorov_smirnov_test_2 (@var{x}, @var{y}, @var{alt})
## Perform a 2-sample Kolmogorov-Smirnov test of the null hypothesis
## that the samples @var{x} and @var{y} come from the same (continuous)
## distribution.  I.e., if F and G are the CDFs corresponding to the
## @var{x} and @var{y} samples, respectively, then the null is that F ==
## G.
##
## With the optional argument string @var{alt}, the alternative of
## interest can be selected.  If @var{alt} is @code{"!="} or
## @code{"<>"}, the null is tested against the two-sided alternative F
## != G.  In this case, the test statistic @var{ks} follows a two-sided
## Kolmogorov-Smirnov distribution.  If @var{alt} is @code{">"}, the
## one-sided alternative F > G is considered.  Similarly for @code{"<"},
## the one-sided alternative F < G is considered.  In this case, the
## test statistic @var{ks} has a one-sided Kolmogorov-Smirnov
## distribution.  The default is the two-sided case.
##
## The p-value of the test is returned in @var{pval}.
##
## If no output argument is given, the p-value is displayed.
## @end deftypefn

## Author: KH <Kurt.Hornik@ci.tuwien.ac.at>
## Description: Two-sample Kolmogorov-Smirnov test

function [pval, ks] = kolmogorov_smirnov_test_2 (x, y, alt)

  if (nargin < 2 || nargin > 3)
    usage ("[pval, ks] = kolmogorov_smirnov_test_2 (x, y, tol)");
  endif

  if (! (is_vector (x) && is_vector (y)))
    error ("kolmogorov_smirnov_test_2: both x and y must be vectors.");
  endif

  if (nargin == 2)
    alt = "!=";
  else
    if (! isstr (alt))
      error ("kolmogorov_smirnov_test_2: alt must be a string.");
    endif
  endif

  n_x = length (x);
  n_y = length (y);
  n   = n_x * n_y / (n_x + n_y);
  x   = reshape (x, n_x, 1);
  y   = reshape (y, n_y, 1);
  [s, i] = sort ([x; y]);
  count (find (i <= n_x)) = 1 / n_x;
  count (find (i > n_x)) = - 1 / n_y;
  if (strcmp (alt, "!=") || strcmp (alt, "<>"))
    ks   = sqrt (n) * max (abs (cumsum (count)));
    pval = 1 - kolmogorov_smirnov_cdf (ks);
  elseif (strcmp (alt, ">"))
    ks   = sqrt (n) * max (cumsum (count));
    pval = exp(- 2 * ks^2);
  elseif (strcmp(alt, "<"))
    ks   = - sqrt (n) * min (cumsum (count));
    pval = exp(- 2 * ks^2);
  else
    error ("kolmogorov_smirnov_test_2: option %s not recognized", alt);
  endif

  if (nargout == 0)
    printf ("  pval: %g\n", pval);
  endif

endfunction