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st: RE: sample size in kolmgorov smirnoff tests of equality of distributions


From   "Falk, Jonathan" <[email protected]>
To   <[email protected]>
Subject   st: RE: sample size in kolmgorov smirnoff tests of equality of distributions
Date   Tue, 6 Jul 2004 09:22:39 -0400

Beyond the obvious difficulty that you have less information about the second distribution, it is possible to apply -ksmirnov- to such data. However, I'd underline Rupert Miller's pithy critique of Kolmogorov-Smirnov quoted within [R] diagnostic plots. -qqplot- (also -ppplot- from SSC) are graphical ways of comparing such distributions. 
Nick [email protected] 

... with the caveat that Miller's comment was specifically directed at finding non-normality, not the difference between two distributions.  The biggest problem with the two-
sample KS test with distributions of these sizes is a pronounced insensitivity to differences in the tails -- not surprising since there isn't much of a tail to be seen in a 25 observation distribution.  For finding arbitrary differences between two distributions, however, KS is probably about the best tool we've got.  -qqplot- doesn't really tell you anything more than than KS will in this case.

Jonathan Falk
Vice President, NERA
1166 Avenue of the Americas
New York, NY 10036
Phone: (212) 345-5315
Efax: (707) 922-0007
"To understand recursion, you must first understand recursion" 
  
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