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  • The Kolmogorov-Smirnov Test: Vasileios Hatzivassiloglou University of Texas at Dallas

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    This document discusses the Kolmogorov-Smirnov test, which is a non-parametric test for comparing two distributions. It does not rely on any assumptions about the distribution. The test examines the maximum distance between the empirical distribution functions of the two samples. This distance is compared to critical values to determine if the samples could have come from the same distribution. An example is provided to illustrate examining sample data and calculating the empirical distribution function to apply the Kolmogorov-Smirnov test.

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    Kolmogorov-Smirnov

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    This document discusses the Kolmogorov-Smirnov test, which is a non-parametric test for comparing two distributions. It does not rely on any assumptions about the distribution. The test examines the maximum distance between the empirical distribution functions of the two samples. This distance is compared to critical values to determine if the samples could have come from the same distribution. An example is provided to illustrate examining sample data and calculating the empirical distribution function to apply the Kolmogorov-Smirnov test.

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    127 views11 pages

    The Kolmogorov-Smirnov Test: Vasileios Hatzivassiloglou University of Texas at Dallas

    Uploaded by

    diracadpgc
    This document discusses the Kolmogorov-Smirnov test, which is a non-parametric test for comparing two distributions. It does not rely on any assumptions about the distribution. The test examines the maximum distance between the empirical distribution functions of the two samples. This distance is compared to critical values to determine if the samples could have come from the same distribution. An example is provided to illustrate examining sample data and calculating the empirical distribution function to apply the Kolmogorov-Smirnov test.

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    of 11

    The Kolmogorov-Smirnov Test

    Vasileios Hatzivassiloglou
    University of Texas at Dallas
    Kolmogorov-Smirnov test
    • A fully non-parametric test for comparing
    two distributions
    • Does not depend on approximations for
    the distribution

    2
    Empirical distribution function
    • For a random variable X and a sample {x1,
    x2, ..., xn} the empirical distribution function
    of X is defined as
    1 n
    FX ( x )   I ( xi  x )
    n i 1
    • 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
    Examining the data
    • Sorted data:
    • {0.08, 0.10, 0.15, 0.17, 0.24, 0.34, 0.38,
    0.42, 0.49, 0.50, 0.70, 0.94, 0.95, 1.26,
    1.37, 1.55, 1.75, 3.20, 6.98, 50.57}
    • Mean: 3.61, Standard deviation: 11.2

    5
    Examining the data for normality
    • For normal data,
    – 15% should be below one s.d. from the mean
    (3.61-11.2 = -7.59)
    – none of the samples are even negative
    – about 2% should be above two standard
    deviations from the mean
    (3.61+2×11.2=26.01)
    – here we have one in 20 samples way beyond
    that value (50.57)
    6
    Example empirical distribution

    7
    Log transformation

    8
    The Kolmogorov-Smirnov test
    • Given two cumulative probability functions
    FX and FY, the test statistics are
    D  max ( FX ( x )  FY ( x ))
    x

    D  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

    10
    Advantages of Kolmogorov-
    Smirnov
    • It is non-parametric and hence robust
    • It does not rely on the mean’s 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 χ2
    • However, it is less sensitive than t if the data is
    indeed normal
    11

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