Kolmogorov–Smirnov Test

01-12-2020 / Edit on Github

What & Why? #

To check the similar distribution of 2 samples drawn from population. If these samples are normal, we can use T-test, but if they are not normal, we need to use KS-test. KS-test is a non-parametric test.

Null hypothesis (H0H_0): "Two samples drawn from population with the same distribution."

👉 Read more about p-value. We use this value to evaluate the true/false of above null hypothesis.

The difference (in use) of T-test (need an assumption of nomality) and KS-test (don't need),

T-test vs KS-test

  • Two samples have the same mean & standard deviation ⇒ p-value is high ⇒ cannot reject H0H_0 (not true)
  • KS-test can detect the variance ⇒ p-value is low ⇒ we can reject H0H_0 ⇒ 2 samples are not the same distribution!!! (yep!)

How? #

If the KS statistic is small or the p-value is high, then we cannot reject the hypothesis that the distributions of the two samples are the same.

Code? #

from scipy import stats
# one-sample KS test
stats.kstest(x, 'norm')
# two-sample KS test
stats.ks_2samp(x, y)

References #

Notes with this notation aren't good enough. They are being updated.