3
$\begingroup$

I have to compare two datasets. The first is real data, while the second is a simulation. I want to look just to one variable in the datasets, and testing if it is compatibile between data and simulation. The underlying random variable in continuos. The usual test is the KS test, but in my case the data in the simulation are weighted.

How to run a two-sample KS-test with weighted samples? Should I simply redefine the empirical CDF with weights? Is the distribution of the test statistics the same? Should I do something special?

$\endgroup$
  • $\begingroup$ I think that at the following link we answered your questions. $\endgroup$ – user134744 Oct 14 '16 at 13:46
3
$\begingroup$

I have found some information about how to modify the KS and AD tests for weighted samples in Numerical Methods of Statistics by Monohan, pg. 334 in 1E and pg. 358 in 2E. This Google Books link may show the relevant page. I have also attached a screenshot of the relevant page.enter image description here

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.