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 :
KSTestStat(number.trials, sample.size, confidence.interval)
Number of trials
Sizes of the trial samples
Confidence interval expressed as a fraction of 1
Confidence Interval for KS test stat
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.
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# 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)
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