Cramer-von-Mises distance for two weighted samples

cramer-von-mises.py

import numpy

def cvm_2samp_weigted(data1, data2, wei1, wei2):
    """Calculate Cramer-vonMises test statistics with weighted samples."""
    # Indices for a sorted array
    ix1 = numpy.argsort(data1)
    ix2 = numpy.argsort(data2)
    # Sorted data
    data1 = data1[ix1]
    data2 = data2[ix2]
    # Sorted weights
    wei1 = wei1[ix1]
    wei2 = wei2[ix2]
    
    data = numpy.concatenate([data1, data2])
    cwei1 = numpy.hstack([0, numpy.cumsum(wei1)/sum(wei1)])
    cwei2 = numpy.hstack([0, numpy.cumsum(wei2)/sum(wei2)])
    cdf1we = cwei1[[numpy.searchsorted(data1, data, side='right')]]
    cdf2we = cwei2[[numpy.searchsorted(data2, data, side='right')]]
    return sum((f1-f2)**2 for f1, f2 in zip(cdf1we, cdf2we))