KSTestStat {Dowd}

Plots cumulative density for KS test and computes confidence interval for KS test stat.

Description

Kolmogorov-Smirnov (KS) test statistic is a non parametric test for distribution equality and measures the maximum distance between two cdfs. Formally, the KS test statistic is :

D=\max_i|F(X_i)-\hat{F}(X_i)|

Usage

KSTestStat(number.trials, sample.size, confidence.interval)

Arguments

number.trials

Number of trials

sample.size

Sizes of the trial samples

confidence.interval

Confidence interval expressed as a fraction of 1

Value

Confidence Interval for KS test stat

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Chakravarti, I. M., Laha, R. G. and Roy, J. Handbook of Methods of #' Applied Statistics, Volume 1, Wiley, 1967.

Examples

# Plots the cdf for KS Test statistic and returns KS confidence interval
   # for 100 trials with 1000 sample size and 0.95 confidence interval
   KSTestStat(100, 1000, 0.95)