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Kolmogorov-Smirnov test
A fully non-parametric test for comparing two distributions Does not depend on approximations for the distribution
where I(condition) is the indicator function, i.e., 1 if the condition is true and 0 otherwise
3
Example data
FX is an estimate of
the cumulative probability function of X
Consider the following example data: {1.26, 0.34, 0.70, 1.75, 50.57, 1.55, 0.08, 0.42, 0.50, 3.20, 0.15, 0.49, 0.95, 0.24, 1.37, 0.17, 6.98, 0.10, 0.94, 0.38} n = 20 Is this data normal?
4
Log transformation
D D
max( FX ( x ) FY ( x ))
x
max( FY ( x ) FX ( x ))
x
Usually the value D=max{D+, D-} is used (although its distribution is harder to study than either D+ or D-)
9
Comparing distributions
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Advantages of KolmogorovSmirnov
It is non-parametric and hence robust It does not rely on the means location only (like the t-test) It works for non-normal data (the t-test can fail if the data is too far from normal) It is not sensitive to scaling It is more powerful than 2 However, it is less sensitive than t if the data is indeed normal 11