test-ks2Test: Two sample Kolmogorov-Smirnov test

In fBasics: Rmetrics - Markets and Basic Statistics

Two sample Kolmogorov-Smirnov test

Description

Tests if two series are distributionally equivalent using two sample Kolmogorov-Smirnov test.

Usage

ks2Test(x, y, title = NULL, description = NULL)

Arguments

x, y	numeric vectors of data values.
title	an optional title string, if not specified the inputs data name is deparsed.
description	optional description string, or a vector of character strings.

Details

The test ks2Test performs a Kolmogorov-Smirnov two sample test that the two data samples, x and y, come from the same distribution, not necessarily a normal distribution. That means that it is not specified what that common distribution is.

ks2Test calls several times base R's ks.test p-values for all three alternatives (two-sided, less, and greater), as well as the exact p-value for the two-sided case.

Note that the p-values are computed under a hypothesis of i.i.d., which is rarely the case for time series. So, the results should be interpreted cautiosly if that is the case. The same applies when the data are residuals from fitted models.

Value

an object from class fHTEST

References

Conover, W. J. (1971); Practical nonparametric statistics, New York: John Wiley & Sons.

Lehmann E.L. (1986); Testing Statistical Hypotheses, John Wiley and Sons, New York.

Examples

x <- rnorm(50)
y <- rnorm(50)
  
ks2Test(x, y)

fBasics documentation built on Sept. 11, 2024, 6:34 p.m.