The Kolmogorov-Smirnov test (K-S test) is a non-parametric statistical test used to determine if a sample comes from a specific probability distribution or to compare two samples to see if they originate from the same distribution. It is based on the largest difference between the empirical cumulative distribution functions (CDFs) of the samples. Specifically, the test statistic is defined as:
for a one-sample test, where is the empirical CDF of the sample and is the CDF of the reference distribution. In a two-sample K-S test, the statistic compares the empirical CDFs of two samples. The resulting value is then compared to critical values from the K-S distribution to determine the significance. This test is particularly useful because it does not rely on assumptions about the distribution of the data, making it versatile for various applications in fields such as finance, quality control, and scientific research.
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