How do you interpret the p value for Kolmogorov-Smirnov?
The p-value returned by the k-s test has the same interpretation as other p-values. You reject the null hypothesis that the two samples were drawn from the same distribution if the p-value is less than your significance level.
How is Kolmogorov-Smirnov statistic calculated?
General Steps
- Create an EDF for your sample data (see Empirical Distribution Function for steps),
- Specify a parent distribution (i.e. one that you want to compare your EDF to),
- Graph the two distributions together.
- Measure the greatest vertical distance between the two graphs.
- Calculate the test statistic.
When to change the Kolmogorov-Smirnov statistic?
The Kolmogorov–Smirnov test statistic needs to be modified if a similar test is to be applied to multivariate data. This is not straightforward because the maximum difference between two joint cumulative distribution functions is not generally the same as the maximum difference of any of the complementary distribution functions.
Who is the author of the Kolmogorov-Smirnov test?
The cumulative distribution function of K is given by . Both the form of the Kolmogorov–Smirnov test statistic and its asymptotic distribution under the null hypothesis were published by Andrey Kolmogorov, while a table of the distribution was published by Nikolai Smirnov.
How is the Kolmogorov-Smirnov goodness of fit test defined?
The Kolmogorov-Smirnov (K-S) test is based on the empirical distribution function (ECDF). Given N ordered data points Y 1, Y 2., Y N, the ECDF is defined as. [ E_{N} = n(i)/N ]
How to calculate the KINV of the Kolmogorov distribution?
where c(α) = the inverse of the Kolmogorov distribution at α, which can be calculated in Excel as Dm,n,α = KINV (α)*SQRT ((m+n)/ (m*n)) where KINV is defined in Kolmogorov Distribution. The values of c(α) are also the numerators of the last entries in the Kolmogorov-Smirnov Table.