Re: [R] Kolmogorov-smirnov test

From: Jay Emerson <jayemerson_at_gmail.com>
Date: Mon, 28 Feb 2011 08:42:16 -0500


Taylor Arnold and I have developed a package ks.test (available on R-Forge in beta version) that modifies stats::ks.test to handle discrete null distributions
for one-sample tests. We also have a draft of a paper we could provide (email us). The package uses methodology of Conover (1972) and Gleser (1985) to provide exact p-values. It also corrects an algorithmic problem with stats::ks.test
in the calculation of the test statistic. This is not a bug, per se, because it was
never intended to be used this way. We will submit this new function for inclusion in package stats once we're done testing.

So, for example:
# With the default ks.test (ouch):
> stats::ks.test(c(0,1), ecdf(c(0,1)))

        One-sample Kolmogorov-Smirnov test

data: c(0, 1)
D = 0.5, p-value = 0.5
alternative hypothesis: two-sided

# With our new function (what you would want in this toy example):
> ks.test::ks.test(c(0,1), ecdf(c(0,1)))

        One-sample Kolmogorov-Smirnov test

data: c(0, 1)
D = 0, p-value = 1
alternative hypothesis: two-sided

Original Message:

Date: Mon, 28 Feb 2011 21:31:26 +1100
From: Glen Barnett <glnbrntt_at_gmail.com>
To: tsippel <tsippel_at_gmail.com>
Cc: r-help_at_r-project.org
Subject: Re: [R] Kolmogorov-smirnov test Message-ID:

       <AANLkTikcjigrgJuOtkOZqFXFqatiN6arZJvT_apPiVCj@mail.gmail.com> Content-Type: text/plain; charset=ISO-8859-1

It's designed for continuous distributions. See the first sentence here:

http://en.wikipedia.org/wiki/Kolmogorov%E2%80%93Smirnov_test

K-S is conservative on discrete distributions

On Sat, Feb 19, 2011 at 1:52 PM, tsippel <tsippel_at_gmail.com> wrote:
> Is the kolmogorov-smirnov test valid on both continuous and discrete data?
> ?I don't think so, and the example below helped me understand why.
>
> A suggestion on testing the discrete data would be appreciated.
>
> Thanks,

-- 
John W. Emerson (Jay)
Associate Professor of Statistics
Department of Statistics
Yale University
http://www.stat.yale.edu/~jay

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Received on Mon 28 Feb 2011 - 13:47:57 GMT

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