[R] Problems with ks.test

[Don MacQueen]

7 repetitions is not nearly enough to get a good estimate of the 
variability of the test statistic.
Try this:

nrep <- 500
pvals <- tstvals <- numeric(nrep)

for (i in seq(nrep)) {
   tmp <-  ks.test(rexp(2500,0.4),"pexp",0.4)
   pvals[i] <- tmp$p.value
   tstvals[i] <- tmp$statistic
}

hist(pvals)
hist(tstvals)
round(quantile(pvals,pr=seq(0.05,.95,.05)),2)

At 2:36 PM +0000 2/3/06, Emanuele Mazzola wrote:
>Hi everybody,
>
>while performing ks.test for a standard exponential distribution on samples
>of dimension 2500, generated everytime as new, i had this strange behaviour:
>
>>data<-rexp(2500,0.4)
>>ks.test(data,"pexp",0.4)
>
>	One-sample Kolmogorov-Smirnov test
>
>data:  data
>D = 0.0147, p-value = 0.6549
>alternative hypothesis: two.sided
>
>>data<-rexp(2500,0.4)
>>ks.test(data,"pexp",0.4)
>
>	One-sample Kolmogorov-Smirnov test
>
>data:  data
>D = 0.019, p-value = 0.3305
>alternative hypothesis: two.sided
>
>>data<-rexp(2500,0.4)
>>ks.test(data,"pexp",0.4)
>
>	One-sample Kolmogorov-Smirnov test
>
>data:  data
>D = 0.0171, p-value = 0.4580
>alternative hypothesis: two.sided
>
>>data<-rexp(2500,0.4)
>>ks.test(data,"pexp",0.4)
>
>	One-sample Kolmogorov-Smirnov test
>
>data:  data
>D = 0.0143, p-value = 0.6841
>alternative hypothesis: two.sided
>
>>data<-rexp(2500,0.4)
>>ks.test(data,"pexp",0.4)
>
>	One-sample Kolmogorov-Smirnov test
>
>data:  data
>D = 0.0145, p-value = 0.6684
>alternative hypothesis: two.sided
>
>>data<-rexp(2500,0.4)
>>ks.test(data,"pexp",0.4)
>
>	One-sample Kolmogorov-Smirnov test
>
>data:  data
>D = 0.0123, p-value = 0.8435
>alternative hypothesis: two.sided
>
>  >data<-rexp(2500,0.4)
>>ks.test(data,"pexp",0.4)
>
>	One-sample Kolmogorov-Smirnov test
>
>data:  data
>D = 0.0186, p-value = 0.3532
>alternative hypothesis: two.sided
>
>
>It seems kind of strange to me that max p-value obtained is 0.8435 and all
>the best i can have from the rest is a 0.66-0.68.
>I'm probably not so expert in running this kind of test, but am I doing
>something wrong?
>I would expect p values ranging from 0.75 (to be kind) to 0.9, 0.95. How is
>this possible?
>
>Thank you in advance for your answers.
>See you soon
>EM
>
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-- 
--------------------------------------
Don MacQueen
Environmental Protection Department
Lawrence Livermore National Laboratory
Livermore, CA, USA