[R] Kolmogorov-smirnov test

[Jay Emerson]

Taylor Arnold and I have developed a package ks.test (available on R-Forge
in beta version) that modifies stats::ks.test to handle discrete null
distributions
for one-sample tests.  We also have a draft of a paper we could provide (email
us).  The package uses methodology of Conover (1972) and Gleser (1985) to
provide exact p-values.  It also corrects an algorithmic problem with
stats::ks.test
in the calculation of the test statistic.  This is not a bug, per se,
because it was
never intended to be used this way.  We will submit this new function for
inclusion in package stats once we're done testing.

So, for example:
# With the default ks.test (ouch):
> stats::ks.test(c(0,1), ecdf(c(0,1)))

	One-sample Kolmogorov-Smirnov test

data:  c(0, 1)
D = 0.5, p-value = 0.5
alternative hypothesis: two-sided

# With our new function (what you would want in this toy example):
> ks.test::ks.test(c(0,1), ecdf(c(0,1)))

	One-sample Kolmogorov-Smirnov test

data:  c(0, 1)
D = 0, p-value = 1
alternative hypothesis: two-sided



Original Message:

Date: Mon, 28 Feb 2011 21:31:26 +1100
From: Glen Barnett <glnbrntt at gmail.com>
To: tsippel <tsippel at gmail.com>
Cc: r-help at r-project.org
Subject: Re: [R] Kolmogorov-smirnov test
Message-ID:
       <AANLkTikcjigrgJuOtkOZqFXFqatiN6arZJvT_apPiVCj at mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1

It's designed for continuous distributions. See the first sentence here:

http://en.wikipedia.org/wiki/Kolmogorov%E2%80%93Smirnov_test

K-S is conservative on discrete distributions

On Sat, Feb 19, 2011 at 1:52 PM, tsippel <tsippel at gmail.com> wrote:
> Is the kolmogorov-smirnov test valid on both continuous and discrete data?
> ?I don't think so, and the example below helped me understand why.
>
> A suggestion on testing the discrete data would be appreciated.
>
> Thanks,

-- 
John W. Emerson (Jay)
Associate Professor of Statistics
Department of Statistics
Yale University
http://www.stat.yale.edu/~jay