Timeline for two-sample Kolmogorov-Smirnov test suggest that sample with the same data generating process from different populations
Current License: CC BY-SA 4.0
3 events
| when toggle format | what | by | license | comment | |
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| Oct 15, 2020 at 22:29 | comment | added | Thomas Lumley | Yes, it is necessary that the observation in each sample are independent of each other. | |
| Oct 9, 2020 at 13:59 | comment | added | BenAlbert | Thomas, thank you for your comment. The observations with in each sample are not independent from one another. On any given day the asset price was used to calculate the implied volatility over a one day period, then a two day period, all the way up to a 75 day period. Therefore, all observation on the same day will be correlated with each other. However, since different days where used in each sample I believe the two samples should be independent of one another. Does this violate the assumptions of the KS test? Is there another test that I should use? | |
| Oct 7, 2020 at 21:29 | history | answered | Thomas Lumley | CC BY-SA 4.0 |