20.5.5 Testing a distribution with the Kolmogorov-Smirnov distribution
The kolmogorovt
command uses the Kolmogorov test to compare sample data to a
specified continuous distribution.
kolmogorovt takes two arguments and possibly
additional parameters.
L, a list of sample data.
Optionally, distr. This can be one of:
The name of a distribution and the necessary parameters (see
Section 20.3.4 for a list of distributions and their parameters).
Another list of sample data.
kolmogorovt(L,distr) returns a
list of three values:
The D statistic, which is the maximum distance between the
cumulative distribution functions of the samples or the sample and
the given distribution.
The K value, where K=D√n (for a single data set,
where n is the size of the data set) or K=D√n1n2 /(n1 +
n2) (when there are two data sets, with sizes n1 and n2).
The K value will tend towards the Kolmogorov-Smirnov distribution
as the data size approaches infinity.
1-kolmogorovd(K), which will be close to 1 when the
distributions look like they match.