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Kolmogorov

The Kolmogorov-Smirnov test (K-S test) is a non-parametric test used to compare a sample to a reference probability distribution or compare two samples. It quantifies the distance between empirical distribution functions of samples or a sample and theoretical distribution. The K-S test can be used as a goodness-of-fit test to determine if an underlying probability distribution differs from a hypothesized distribution or to compare two distributions and determine if they differ. It has the advantage of considering the entire distribution functions collectively rather than just differences in means or medians.

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84 views1 page

Kolmogorov

The Kolmogorov-Smirnov test (K-S test) is a non-parametric test used to compare a sample to a reference probability distribution or compare two samples. It quantifies the distance between empirical distribution functions of samples or a sample and theoretical distribution. The K-S test can be used as a goodness-of-fit test to determine if an underlying probability distribution differs from a hypothesized distribution or to compare two distributions and determine if they differ. It has the advantage of considering the entire distribution functions collectively rather than just differences in means or medians.

Uploaded by

Mashhood Ahmed
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Kolmogorov-Smirnov test (K-S test) is a non-parametric test of the equality of continuous one-

dimensional probability distributions that can be used to compare a sample with a reference
probability distribution ( one sample K-S test), or to compare two samples (two sample K-S test). It is
named after Andrey Kolmogorov and Nikolai Smirnov. The Kolmogorov-Smirnov statistic quantifies a
distance between the empirical distribution function of the sample and the cumulative distribution
function of the reference distribution , or between the empirical distribution functions of two
samples

Kolmogorov-Smirnov test is a nonparametric goodness -of -fit and is used to determine whether two
distributions differ, or whether an underlying probability distribution differs from a hypothesized
distribution. It is used when we have two samples coming from two populations that can be
different. Unlike the Mann-Whitney test and the Wilcoxon test where the goal is to detect the
difference between two means or medians, the Kolmogorov-Smirnov test has the advantage of
considering the distribution functions collectively. The Kolmogorov-Smirnov test can also be used as
a goodness of fit test. In this case, we have only one random sample obtained from a population
where the distribution function is specific and known.

Facts:

The goodness-of-fit test for a sample was invented by Andrey Nikolayevich Kolmogorov (1933). The
Kolmogorov-Smirnov test for two samples was invented by Vladimir Ivanovich Smirov (1939).

Kolmogorov Smirnov Two Samples Test

The twos ample K-S test is one of the most useful and general nonparametric methods for
comparing two samples , as it is sensitive to differences in both location and shape of the empirical
cumulative distribution functions of two samples.

The Kolomogorov-Smirnov test can be modified to serve as a goodness-of fit test

Advantages:

 The test is distribution free. That means you don’t have to know the underlying population
distribution for your data before running this test.

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