Check if data (N datapoints) originate from known distributionComparing two discrete distributions (with small cell counts)Testing randomly generated data against its intended distributionnon-parametric two-sample equivalence tests with unequal sample sizesMaximum Likelihood questionHow to draw these t-statistics in RAren't normality tests backwards?Proper test for comparing two means from different distributions? (with limited data)p-value for complete spatial randomness testsHelp with preference testWhat should my critical region look like in this LR test for shifted exponential distribution with pdf $e^-(x-theta)mathbf1_x>theta$?
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Check if data (N datapoints) originate from known distribution
Comparing two discrete distributions (with small cell counts)Testing randomly generated data against its intended distributionnon-parametric two-sample equivalence tests with unequal sample sizesMaximum Likelihood questionHow to draw these t-statistics in RAren't normality tests backwards?Proper test for comparing two means from different distributions? (with limited data)p-value for complete spatial randomness testsHelp with preference testWhat should my critical region look like in this LR test for shifted exponential distribution with pdf $e^-(x-theta)mathbf1_x>theta$?
.everyoneloves__top-leaderboard:empty,.everyoneloves__mid-leaderboard:empty,.everyoneloves__bot-mid-leaderboard:empty margin-bottom:0;
$begingroup$
Assuming that we have N data points $x_1, ldots, x_N$ and a known distribution $F_0(x)$ (not a Normal Distribution), i.e. we want to check if the system under study behaves 'typically'.
I would like to quantify the probability that those $N$ datapoints originate from this distribution. For large sample sizes, there are various statistical hypothesis tests that could be applied (e.g. chi-squared). However, if the sample size is small, the chi-square test will fail.
Intuitively, it should be possible to detect if those data points are clearly deviating, even with a small sample size. However, is there a mathematical test designed for these conditions?
hypothesis-testing mathematical-statistics
$endgroup$
add a comment |
$begingroup$
Assuming that we have N data points $x_1, ldots, x_N$ and a known distribution $F_0(x)$ (not a Normal Distribution), i.e. we want to check if the system under study behaves 'typically'.
I would like to quantify the probability that those $N$ datapoints originate from this distribution. For large sample sizes, there are various statistical hypothesis tests that could be applied (e.g. chi-squared). However, if the sample size is small, the chi-square test will fail.
Intuitively, it should be possible to detect if those data points are clearly deviating, even with a small sample size. However, is there a mathematical test designed for these conditions?
hypothesis-testing mathematical-statistics
$endgroup$
$begingroup$
"Intuitively, it should be possible to detect if those data points are clearly deviating, even with a small sample size." Identifying the population from which a small sample was taken can be problematic.
$endgroup$
– BruceET
Jul 22 at 17:30
add a comment |
$begingroup$
Assuming that we have N data points $x_1, ldots, x_N$ and a known distribution $F_0(x)$ (not a Normal Distribution), i.e. we want to check if the system under study behaves 'typically'.
I would like to quantify the probability that those $N$ datapoints originate from this distribution. For large sample sizes, there are various statistical hypothesis tests that could be applied (e.g. chi-squared). However, if the sample size is small, the chi-square test will fail.
Intuitively, it should be possible to detect if those data points are clearly deviating, even with a small sample size. However, is there a mathematical test designed for these conditions?
hypothesis-testing mathematical-statistics
$endgroup$
Assuming that we have N data points $x_1, ldots, x_N$ and a known distribution $F_0(x)$ (not a Normal Distribution), i.e. we want to check if the system under study behaves 'typically'.
I would like to quantify the probability that those $N$ datapoints originate from this distribution. For large sample sizes, there are various statistical hypothesis tests that could be applied (e.g. chi-squared). However, if the sample size is small, the chi-square test will fail.
Intuitively, it should be possible to detect if those data points are clearly deviating, even with a small sample size. However, is there a mathematical test designed for these conditions?
hypothesis-testing mathematical-statistics
hypothesis-testing mathematical-statistics
edited Jul 22 at 8:14
kjetil b halvorsen
35.9k9 gold badges90 silver badges278 bronze badges
35.9k9 gold badges90 silver badges278 bronze badges
asked Jul 22 at 5:23
SZafonSZafon
211 bronze badge
211 bronze badge
$begingroup$
"Intuitively, it should be possible to detect if those data points are clearly deviating, even with a small sample size." Identifying the population from which a small sample was taken can be problematic.
$endgroup$
– BruceET
Jul 22 at 17:30
add a comment |
$begingroup$
"Intuitively, it should be possible to detect if those data points are clearly deviating, even with a small sample size." Identifying the population from which a small sample was taken can be problematic.
$endgroup$
– BruceET
Jul 22 at 17:30
$begingroup$
"Intuitively, it should be possible to detect if those data points are clearly deviating, even with a small sample size." Identifying the population from which a small sample was taken can be problematic.
$endgroup$
– BruceET
Jul 22 at 17:30
$begingroup$
"Intuitively, it should be possible to detect if those data points are clearly deviating, even with a small sample size." Identifying the population from which a small sample was taken can be problematic.
$endgroup$
– BruceET
Jul 22 at 17:30
add a comment |
2 Answers
2
active
oldest
votes
$begingroup$
Maybe Kolmogorov-Smirnov test with correction for small samples provided by Jan Vrbik in: Vrbik, Jan (2018). "Small-Sample Corrections to Kolmogorov–Smirnov Test Statistic". Pioneer Journal of Theoretical and Applied Statistics. 15 (1–2): 15–23.
Correction itself is also described on Wikipedia site for Kolmogorov-Smirnov test: replace $D_N$ with
$$ D_N+frac 16sqrt N+frac D_N-14N$$
where $D_N$ is standard Kolmogorov-Smirnov statistic.
$endgroup$
add a comment |
$begingroup$
Use R to generate 10 observations from a standard uniform
distribution:
set seed(722) # for reproducibility
x = runif(10)
summary(x); sd(x)
Min. 1st Qu. Median Mean 3rd Qu. Max.
0.1270 0.4940 0.7454 0.6627 0.9070 0.9477
[1] 0.293335 # SD
Use the Kolmogorov-Smirnov test to see if the sample is consistent with standard uniform. Appropriately, the answer is Yes because data were sampled from a standard uniform distribution: Large P-value, no rejection.
ks.test(x, punif)
One-sample Kolmogorov-Smirnov test
data: x
D = 0.31507, p-value = 0.2217
alternative hypothesis: two-sided
Is the sample also consistent with $mathsfNorm(.5, sqrt1/12)?$ The mean and variance match, but
shapes differ. Notice that the parameters mean and standard deviation are specified. Again consistent, but we know the normal distribution is not correct.
ks.test(x, pnorm, .5, sqrt(1/12))
One-sample Kolmogorov-Smirnov test
data: x
D = 0.36246, p-value = 0.1104
alternative hypothesis: two-sided
However, the K-S test easily rejects that this sample is from $mathsfExp(rate=2),$ which has mean $1/2 = 0.5,$ but the wrong SD. This exponential distribution has almost 14% of its probability above $1,$ but our sample has no observation above 0.948.
ks.test(x, dexp, 2)
One-sample Kolmogorov-Smirnov test
data: x
D = 1.5513, p-value < 2.2e-16
alternative hypothesis: two-sided
Notes: (1) See other pages on this site and the Internet, including
the relevant Wikipedia page, which has a brief explanation of the test and some remarks about cases in which parameters must be estimated from data.
(2) Several well-known statistical software programs have
procedures that check a sample against a list of often used
distributions to estimate parameters and see if any distribution is a fit. Often these are called 'distribution ID' procedures
and sometimes they are restricted to non-negative data.
For example, when the distribution ID procedure in Minitab
is asked to compare the small sample above to normal, lognormal, Weibull, and gamma families, here are the parameter estimates:
ML Estimates of Distribution Parameters
Distribution Location Shape Scale
Normal* 0.66265 0.29334
Lognormal* -0.55937 0.66158
Weibull 2.62094 0.74268
Gamma 3.53947 0.18722
* Scale: Adjusted ML estimate
And here are appropriate probability plots with P-values of Anderson-Darling goodness-of-fit tests in
legends. The data are clearly inconsistent with distributions in the lognormal family.
(2) For very large sample sizes, Kolmogorov-Smirnov, Anderson-Darling and other goodness-of-fit tests can reject some
distributions as not fitting---even when the fit might be good
enough for some practical applications.
$endgroup$
add a comment |
Your Answer
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2 Answers
2
active
oldest
votes
2 Answers
2
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
Maybe Kolmogorov-Smirnov test with correction for small samples provided by Jan Vrbik in: Vrbik, Jan (2018). "Small-Sample Corrections to Kolmogorov–Smirnov Test Statistic". Pioneer Journal of Theoretical and Applied Statistics. 15 (1–2): 15–23.
Correction itself is also described on Wikipedia site for Kolmogorov-Smirnov test: replace $D_N$ with
$$ D_N+frac 16sqrt N+frac D_N-14N$$
where $D_N$ is standard Kolmogorov-Smirnov statistic.
$endgroup$
add a comment |
$begingroup$
Maybe Kolmogorov-Smirnov test with correction for small samples provided by Jan Vrbik in: Vrbik, Jan (2018). "Small-Sample Corrections to Kolmogorov–Smirnov Test Statistic". Pioneer Journal of Theoretical and Applied Statistics. 15 (1–2): 15–23.
Correction itself is also described on Wikipedia site for Kolmogorov-Smirnov test: replace $D_N$ with
$$ D_N+frac 16sqrt N+frac D_N-14N$$
where $D_N$ is standard Kolmogorov-Smirnov statistic.
$endgroup$
add a comment |
$begingroup$
Maybe Kolmogorov-Smirnov test with correction for small samples provided by Jan Vrbik in: Vrbik, Jan (2018). "Small-Sample Corrections to Kolmogorov–Smirnov Test Statistic". Pioneer Journal of Theoretical and Applied Statistics. 15 (1–2): 15–23.
Correction itself is also described on Wikipedia site for Kolmogorov-Smirnov test: replace $D_N$ with
$$ D_N+frac 16sqrt N+frac D_N-14N$$
where $D_N$ is standard Kolmogorov-Smirnov statistic.
$endgroup$
Maybe Kolmogorov-Smirnov test with correction for small samples provided by Jan Vrbik in: Vrbik, Jan (2018). "Small-Sample Corrections to Kolmogorov–Smirnov Test Statistic". Pioneer Journal of Theoretical and Applied Statistics. 15 (1–2): 15–23.
Correction itself is also described on Wikipedia site for Kolmogorov-Smirnov test: replace $D_N$ with
$$ D_N+frac 16sqrt N+frac D_N-14N$$
where $D_N$ is standard Kolmogorov-Smirnov statistic.
edited Jul 22 at 8:29
answered Jul 22 at 8:05
Łukasz DeryłoŁukasz Deryło
2,7591 gold badge6 silver badges17 bronze badges
2,7591 gold badge6 silver badges17 bronze badges
add a comment |
add a comment |
$begingroup$
Use R to generate 10 observations from a standard uniform
distribution:
set seed(722) # for reproducibility
x = runif(10)
summary(x); sd(x)
Min. 1st Qu. Median Mean 3rd Qu. Max.
0.1270 0.4940 0.7454 0.6627 0.9070 0.9477
[1] 0.293335 # SD
Use the Kolmogorov-Smirnov test to see if the sample is consistent with standard uniform. Appropriately, the answer is Yes because data were sampled from a standard uniform distribution: Large P-value, no rejection.
ks.test(x, punif)
One-sample Kolmogorov-Smirnov test
data: x
D = 0.31507, p-value = 0.2217
alternative hypothesis: two-sided
Is the sample also consistent with $mathsfNorm(.5, sqrt1/12)?$ The mean and variance match, but
shapes differ. Notice that the parameters mean and standard deviation are specified. Again consistent, but we know the normal distribution is not correct.
ks.test(x, pnorm, .5, sqrt(1/12))
One-sample Kolmogorov-Smirnov test
data: x
D = 0.36246, p-value = 0.1104
alternative hypothesis: two-sided
However, the K-S test easily rejects that this sample is from $mathsfExp(rate=2),$ which has mean $1/2 = 0.5,$ but the wrong SD. This exponential distribution has almost 14% of its probability above $1,$ but our sample has no observation above 0.948.
ks.test(x, dexp, 2)
One-sample Kolmogorov-Smirnov test
data: x
D = 1.5513, p-value < 2.2e-16
alternative hypothesis: two-sided
Notes: (1) See other pages on this site and the Internet, including
the relevant Wikipedia page, which has a brief explanation of the test and some remarks about cases in which parameters must be estimated from data.
(2) Several well-known statistical software programs have
procedures that check a sample against a list of often used
distributions to estimate parameters and see if any distribution is a fit. Often these are called 'distribution ID' procedures
and sometimes they are restricted to non-negative data.
For example, when the distribution ID procedure in Minitab
is asked to compare the small sample above to normal, lognormal, Weibull, and gamma families, here are the parameter estimates:
ML Estimates of Distribution Parameters
Distribution Location Shape Scale
Normal* 0.66265 0.29334
Lognormal* -0.55937 0.66158
Weibull 2.62094 0.74268
Gamma 3.53947 0.18722
* Scale: Adjusted ML estimate
And here are appropriate probability plots with P-values of Anderson-Darling goodness-of-fit tests in
legends. The data are clearly inconsistent with distributions in the lognormal family.
(2) For very large sample sizes, Kolmogorov-Smirnov, Anderson-Darling and other goodness-of-fit tests can reject some
distributions as not fitting---even when the fit might be good
enough for some practical applications.
$endgroup$
add a comment |
$begingroup$
Use R to generate 10 observations from a standard uniform
distribution:
set seed(722) # for reproducibility
x = runif(10)
summary(x); sd(x)
Min. 1st Qu. Median Mean 3rd Qu. Max.
0.1270 0.4940 0.7454 0.6627 0.9070 0.9477
[1] 0.293335 # SD
Use the Kolmogorov-Smirnov test to see if the sample is consistent with standard uniform. Appropriately, the answer is Yes because data were sampled from a standard uniform distribution: Large P-value, no rejection.
ks.test(x, punif)
One-sample Kolmogorov-Smirnov test
data: x
D = 0.31507, p-value = 0.2217
alternative hypothesis: two-sided
Is the sample also consistent with $mathsfNorm(.5, sqrt1/12)?$ The mean and variance match, but
shapes differ. Notice that the parameters mean and standard deviation are specified. Again consistent, but we know the normal distribution is not correct.
ks.test(x, pnorm, .5, sqrt(1/12))
One-sample Kolmogorov-Smirnov test
data: x
D = 0.36246, p-value = 0.1104
alternative hypothesis: two-sided
However, the K-S test easily rejects that this sample is from $mathsfExp(rate=2),$ which has mean $1/2 = 0.5,$ but the wrong SD. This exponential distribution has almost 14% of its probability above $1,$ but our sample has no observation above 0.948.
ks.test(x, dexp, 2)
One-sample Kolmogorov-Smirnov test
data: x
D = 1.5513, p-value < 2.2e-16
alternative hypothesis: two-sided
Notes: (1) See other pages on this site and the Internet, including
the relevant Wikipedia page, which has a brief explanation of the test and some remarks about cases in which parameters must be estimated from data.
(2) Several well-known statistical software programs have
procedures that check a sample against a list of often used
distributions to estimate parameters and see if any distribution is a fit. Often these are called 'distribution ID' procedures
and sometimes they are restricted to non-negative data.
For example, when the distribution ID procedure in Minitab
is asked to compare the small sample above to normal, lognormal, Weibull, and gamma families, here are the parameter estimates:
ML Estimates of Distribution Parameters
Distribution Location Shape Scale
Normal* 0.66265 0.29334
Lognormal* -0.55937 0.66158
Weibull 2.62094 0.74268
Gamma 3.53947 0.18722
* Scale: Adjusted ML estimate
And here are appropriate probability plots with P-values of Anderson-Darling goodness-of-fit tests in
legends. The data are clearly inconsistent with distributions in the lognormal family.
(2) For very large sample sizes, Kolmogorov-Smirnov, Anderson-Darling and other goodness-of-fit tests can reject some
distributions as not fitting---even when the fit might be good
enough for some practical applications.
$endgroup$
add a comment |
$begingroup$
Use R to generate 10 observations from a standard uniform
distribution:
set seed(722) # for reproducibility
x = runif(10)
summary(x); sd(x)
Min. 1st Qu. Median Mean 3rd Qu. Max.
0.1270 0.4940 0.7454 0.6627 0.9070 0.9477
[1] 0.293335 # SD
Use the Kolmogorov-Smirnov test to see if the sample is consistent with standard uniform. Appropriately, the answer is Yes because data were sampled from a standard uniform distribution: Large P-value, no rejection.
ks.test(x, punif)
One-sample Kolmogorov-Smirnov test
data: x
D = 0.31507, p-value = 0.2217
alternative hypothesis: two-sided
Is the sample also consistent with $mathsfNorm(.5, sqrt1/12)?$ The mean and variance match, but
shapes differ. Notice that the parameters mean and standard deviation are specified. Again consistent, but we know the normal distribution is not correct.
ks.test(x, pnorm, .5, sqrt(1/12))
One-sample Kolmogorov-Smirnov test
data: x
D = 0.36246, p-value = 0.1104
alternative hypothesis: two-sided
However, the K-S test easily rejects that this sample is from $mathsfExp(rate=2),$ which has mean $1/2 = 0.5,$ but the wrong SD. This exponential distribution has almost 14% of its probability above $1,$ but our sample has no observation above 0.948.
ks.test(x, dexp, 2)
One-sample Kolmogorov-Smirnov test
data: x
D = 1.5513, p-value < 2.2e-16
alternative hypothesis: two-sided
Notes: (1) See other pages on this site and the Internet, including
the relevant Wikipedia page, which has a brief explanation of the test and some remarks about cases in which parameters must be estimated from data.
(2) Several well-known statistical software programs have
procedures that check a sample against a list of often used
distributions to estimate parameters and see if any distribution is a fit. Often these are called 'distribution ID' procedures
and sometimes they are restricted to non-negative data.
For example, when the distribution ID procedure in Minitab
is asked to compare the small sample above to normal, lognormal, Weibull, and gamma families, here are the parameter estimates:
ML Estimates of Distribution Parameters
Distribution Location Shape Scale
Normal* 0.66265 0.29334
Lognormal* -0.55937 0.66158
Weibull 2.62094 0.74268
Gamma 3.53947 0.18722
* Scale: Adjusted ML estimate
And here are appropriate probability plots with P-values of Anderson-Darling goodness-of-fit tests in
legends. The data are clearly inconsistent with distributions in the lognormal family.
(2) For very large sample sizes, Kolmogorov-Smirnov, Anderson-Darling and other goodness-of-fit tests can reject some
distributions as not fitting---even when the fit might be good
enough for some practical applications.
$endgroup$
Use R to generate 10 observations from a standard uniform
distribution:
set seed(722) # for reproducibility
x = runif(10)
summary(x); sd(x)
Min. 1st Qu. Median Mean 3rd Qu. Max.
0.1270 0.4940 0.7454 0.6627 0.9070 0.9477
[1] 0.293335 # SD
Use the Kolmogorov-Smirnov test to see if the sample is consistent with standard uniform. Appropriately, the answer is Yes because data were sampled from a standard uniform distribution: Large P-value, no rejection.
ks.test(x, punif)
One-sample Kolmogorov-Smirnov test
data: x
D = 0.31507, p-value = 0.2217
alternative hypothesis: two-sided
Is the sample also consistent with $mathsfNorm(.5, sqrt1/12)?$ The mean and variance match, but
shapes differ. Notice that the parameters mean and standard deviation are specified. Again consistent, but we know the normal distribution is not correct.
ks.test(x, pnorm, .5, sqrt(1/12))
One-sample Kolmogorov-Smirnov test
data: x
D = 0.36246, p-value = 0.1104
alternative hypothesis: two-sided
However, the K-S test easily rejects that this sample is from $mathsfExp(rate=2),$ which has mean $1/2 = 0.5,$ but the wrong SD. This exponential distribution has almost 14% of its probability above $1,$ but our sample has no observation above 0.948.
ks.test(x, dexp, 2)
One-sample Kolmogorov-Smirnov test
data: x
D = 1.5513, p-value < 2.2e-16
alternative hypothesis: two-sided
Notes: (1) See other pages on this site and the Internet, including
the relevant Wikipedia page, which has a brief explanation of the test and some remarks about cases in which parameters must be estimated from data.
(2) Several well-known statistical software programs have
procedures that check a sample against a list of often used
distributions to estimate parameters and see if any distribution is a fit. Often these are called 'distribution ID' procedures
and sometimes they are restricted to non-negative data.
For example, when the distribution ID procedure in Minitab
is asked to compare the small sample above to normal, lognormal, Weibull, and gamma families, here are the parameter estimates:
ML Estimates of Distribution Parameters
Distribution Location Shape Scale
Normal* 0.66265 0.29334
Lognormal* -0.55937 0.66158
Weibull 2.62094 0.74268
Gamma 3.53947 0.18722
* Scale: Adjusted ML estimate
And here are appropriate probability plots with P-values of Anderson-Darling goodness-of-fit tests in
legends. The data are clearly inconsistent with distributions in the lognormal family.
(2) For very large sample sizes, Kolmogorov-Smirnov, Anderson-Darling and other goodness-of-fit tests can reject some
distributions as not fitting---even when the fit might be good
enough for some practical applications.
edited Jul 22 at 8:08
answered Jul 22 at 7:56
BruceETBruceET
12k1 gold badge8 silver badges26 bronze badges
12k1 gold badge8 silver badges26 bronze badges
add a comment |
add a comment |
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$begingroup$
"Intuitively, it should be possible to detect if those data points are clearly deviating, even with a small sample size." Identifying the population from which a small sample was taken can be problematic.
$endgroup$
– BruceET
Jul 22 at 17:30