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RE: st: AW: ksmirnov


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: AW: ksmirnov
Date   Mon, 28 Sep 2009 15:39:46 +0100

You'd need to clone one or more existing programs, e.g. -qnorm-, -pnorm-
and replace code there with code specific to the t-distribution. 

I am not familiar with the etiquette on fitting t-distributions. Isn't
the df in effect a parameter to be estimated? Otherwise, there would
need to be some justification for using a particular df. 

Nick 
n.j.cox@durham.ac.uk 

tzygmund mcfarlane

Thanks for your replies Martin & Nick.

Martin: My question was actually simpler - was my procedure correct?

That is, should the data be standardised by an estimate of the scale
before using the Kolmogorov-Smirnov procedure or is that not
necessary?

Also, from the help file for chi2fit by Stas Kolenikov I could not
figure out how to implement it for a t-distribution. Any help will be
appreciated.

Nick: I am particularly interested in deviation from a t-distribution.
My data is almost certainly non-normal. I agree about the merits of
plotting it, but am not aware of any tools for my particular case. Any
ideas?



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