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From |
"Stas Kolenikov" <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: -ksmirnov- for uniform distribution? |

Date |
Thu, 27 Mar 2008 14:08:27 -0500 |

I've done some simulations on performance of certain tests, and I want to relate the p-values that come out of a test to the uniform distribution. Looking at the syntax of -ksmirnov-, it appears that I need to put something like the straight line for the RHS expression, so I am trying: sort p ksmirnov p = (_n-1/2)/(_N+1) One-sample Kolmogorov-Smirnov test against theoretical distribution (_n-0.5)/2001 Smaller group D P-value Corrected ---------------------------------------------- p: 0.0007 0.998 Cumulative: -0.0002 1.000 Combined K-S: 0.0007 1.000 1.000 and it happily gives me the p-value of 1. Well, I know that the test is biased, I do the histogram -- and it produces an almost triangular distribution of p-values heavily loaded on small p-values, and when I do the distance between p and the right-hand side by hand, I find that the difference between the distribution functions is like 0.33, not 0.0007 reported in -ksmirnov-. What am I doing wrong here? -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I don't check this account regularly * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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