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    Kolmogorov-Smirnov Test

    Definition

    A goodness-of-fit test for any statistical distribution. The test relies on the fact that the value of the sample cumulative density function is asymptotically normally distributed. To apply the Kolmogorov-Smirnov test, calculate the cumulative frequency (normalized by the sample size) of the observations as a function of class. Then calculate the cumulative frequency for a true distribution (most commonly, the normal distribution). Find the greatest discrepancy between the observed and expected cumulative frequencies, which is called the "D-statistic." Compare this against the critical D-statistic for that sample size. If the calculated D-statistic is greater than the critical one, then reject the null hypothesis that the distribution is of the expected form. The test is an R-estimate.

    Associated people

    Andrey Nikolaevich Kolmogorov | Nikolai Smirnov

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