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Nonparametric statistics and model selection

Nonparametric statistics and model selection

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The Kolmogorov-Smirnov test computes the statistic D n: D n = max x jF1 n (x) F2 n (x)j This compares the two CDFs and looks at the point of maximum discrepancy; see Figure5.1 for an example. We can theoretically show that if F1 is the empirical distribution of xand F2 is the true distribution xwas drawn from, then lim

  Model, Statistics, Selection, Nonparametric, Smirnov, Nonparametric statistics and model selection

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