# KSTestStat: Plots cumulative density for KS test and computes confidence... In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

## 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

 1 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

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

 1 2 3 # 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) 

Dowd documentation built on May 30, 2017, 1:30 a.m.

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