12.4 Kolmogorov-Smirnov Test

The Kolmogorov-Smirnov test is a non-parametric test of the similarity of two distributions. The null hypothesis is that the two samples are drawn from the same distribution. The two-sided and the two one-sided tests are performed.

The STATISTIC calculated is the so called D statistic. For similar distributions the statistic converges to zero.

If the p-value is less than 0.05 then we reject the null hypothesis and accept the alternative hypothesis, that the distributions differ, at the 95% level of confidence.

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