How do you know if two signals are correlated?
If x(n), y(n) and z(n) are the samples of the signals, the correlation coefficient between x and y is given by Sigma x(n) * y(n) divided by the root of [Sigma x(n)^2 * y(n)^2], where ‘ * ‘ denotes simple multiplication and ^2 denotes squaring.
What does it mean for signals to be correlated?
In general, correlation describes the mutual relationship which exists between two or more things. The same definition holds good even in the case of signals. That is, correlation between signals indicates the measure up to which the given signal resembles another signal.
How to compare two distributions in real life?
The red line is the actual test statistic and the green line is the test statistic for 1000 random normal variables. By inserting the KS test statistic for the actual sample (i.e. the red line), we can see that the actual KS test statistic is contained inside the distribution.
How is the KS test used to compare two distributions?
As a non-parametric test, the KS test can be applied to compare any two distributions regardless of whether you assume normal or uniform. In practice, the KS test is extremely useful because it is efficient and effective at distinguishing a sample from another sample, or a theoretical distribution such as a normal or uniform distribution.
How to compare a sample with a distribution?
When we compare a sample with a theoretical distribution, we can use a Monte Carlo simulation to create a test statistics distribution. For instance, if we want to test whether a p-value distribution is uniformly distributed (i.e. p-value uniformity test) or not, we can simulate uniform random variables and compute the KS test statistic.
How to compare two distributions using eCDF formula?
With the set of bins from Stage 1, use the ECDF formula from the previous section to compute the frequencies of all bins for each sample. For each bin, compute the difference in frequencies between the two samples.