(please disregard my previous message: the subject was not the correct one) Date: Wed, 15 Jun 2011 06:19:49 -0400, From: er <er.ci.2020@gmail.com>
I developed one as a Boost.Accumulator here:
https://svn.boost.org/svn/boost/sandbox/statistics/non_parametric/boost/stat...
While it's been a while I haven't touched these directories, I'd be happy to do some maintenance & a proper doc/test suite.
It is the ECDF assuming independent sampling (I think identically need not even be assumed) and derived quantities (such as Kolmogorov Smirnov statistic) : F(x) = count of samples below x The fact that it's an accummulator is just a convenience : the distribution is updated each time a sample is passed to the acc. I'm doing maintenance work right not, whether or not this matches the need of Denis. It shouldn't take too much time (days).
That seems to fit my (pretty simple) need. I'm still trying to test it. Indeed, I would find it more logical to have an empirical distribution "function" <http://en.wikipedia.org/wiki/Empirical_distribution_function>part of the set of already existing Boost.Math statistical distributions<http://www.boost.org/doc/libs/1_46_1/libs/math/doc/sf_and_dist/html/math_toolkit/dist.html>. But an accumulator is just fine for now. By the way, does it mean that if we have a set of 1 million of distinct real numbers, the corresponding accumulator will store a pretty big number of counters? Denis