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Kolmogorov-Smirnov Test: BITS Pilani

The document discusses the Kolmogorov-Smirnov test, which is a nonparametric test used to compare a sample with a reference probability distribution. It provides examples of using the test to determine if sample data comes from a uniform, normal, gamma, or exponential distribution. The test calculates Dn, the maximum difference between the empirical distribution function of the sample and the cumulative distribution function of the reference distribution. If Dn is greater than the critical value Dα, the null hypothesis that the sample matches the reference distribution can be rejected.

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Jineet Desai
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56 views26 pages

Kolmogorov-Smirnov Test: BITS Pilani

The document discusses the Kolmogorov-Smirnov test, which is a nonparametric test used to compare a sample with a reference probability distribution. It provides examples of using the test to determine if sample data comes from a uniform, normal, gamma, or exponential distribution. The test calculates Dn, the maximum difference between the empirical distribution function of the sample and the cumulative distribution function of the reference distribution. If Dn is greater than the critical value Dα, the null hypothesis that the sample matches the reference distribution can be rejected.

Uploaded by

Jineet Desai
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Kolmogorov-Smirnov Test

BITS Pilani Dr. Jajati Keshari Sahoo


Department of Mathematics
K K Birla Goa Campus

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test
Example: Test whether the following data come from
uniform distribution on [2,4]. Use  =0.05
Data: 2.5, 2, 3, 2.3, 2.8, 3.5, 3.2, 4.

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Main Theorem
Statement:
Let ( x1 , x2 ,, xn ) be a random sample from X with
CDF F0 . Suppose there are r ( n) disctinct values
and arranged in ascending order as ( y1 , y2 ,, yr ).
Then the observed values of Dn is

Dn  max max | Fn ( yi )  F0 ( yi ) |,| Fn ( yi 1 )  F0 ( yi ) |


1 i  r

with Fn ( y0 )  0.

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test
Example: Test whether the following data come
from N (   40,   4). Use  =0.05
Data: 38, 39, 42, 41, 41.5, 38.

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test for two samples

Test:
H0 : Fn1  Fn2 Vs H1 : Fn1  Fn2

Critical region:
C   Dn  D  , where Dn  Sup | Fn1 ( x)  Fn2 ( x) |

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test
Example: Test at 5% that whether the following data
come from the same distribution:
Sample-1: 5, 4, 5, 3, 5, 3, 4.
Sample-2: 3, 6, 5, 6, 7, 2, 1.

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test
Example: Test whether the following data come
from G( r  30,   2). Use  =0.05
Data: 10, 8, 2, 5, 19.

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test
Example: To test whether the following data come
from E(  1), find the theoretical test statistics
value Dn  sup | Fn ( x )  F0 ( x) | . Use  =0.05
Data: 15, 2, 30, 50, 80.

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus


Kolmogorov –Smirnov Test

BITS Pilani, K K Birla Goa Campus

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