KSTestStat {Dowd} | R Documentation |
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)
[Package Dowd version 0.12 Index]