Nonparametric statistics and model selection
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
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