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Kolmogorov-Smirnov test

Assume sample is 0.1, 0.7, 0.6, 0.1 (4

observations, n=4)

Empirical probability function is the

steps with upward jumps 1/n at

points 0.1,0.6,0.7 (sort the

observations!)

At 0.1 the jump is ! (Why?)

Assume uniform theoretical distribution: F(x)=x.

D is the maximal distance between F(x) and the steps (D=0.4). Number of

freedoms is n-1.

If D is greater than the critical D (see further): the hypothesis that sample

came from the theoretical distribution F is rejected

Calculation of F(x)

When the jump-points are x then in F(x) is easily

calculated in Excel using the functions:

Distribution

Probability Function

Exponential

EXPONDIST(x,1/expectedTime,TRUE)=

Gamma

GAMMADIST(x,shape,scale,TRUE)=

Normal

NORMDIST(x,mean,stdDev,TRUE)=

Beta

BETADIST(x,shape1,shape2,A,B)=

5

square) test (Example) i.

Test H : each integer has equal probability.

Collect the observations to bins (number of

0

expected number of observations (=E) > 5.

number of

bins (number of parameters computed from

sample +1)) < then reject H0. (CHIDIST is an

Excel function)

2

(Example) ii.

Values

0,1,2

3,4

5,6

7,8

9,10

Sum

Observed Expected

Frequency

(O-E)2/E

O

E

8

0.004

303/11

5

0.038

302/11

2

2.188

302/11

5

0.038

302/11

10

3.788

302/11

30

30

6.056

7

- 393-1466-1-PB.pdfUploaded byRezky
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