I have a data set and I would like to fit a t distribution on it. I use R or Python to feed into my data, and I get the degrees of freedom, the location and the scale parameters.
After that, I generated random t distributed numbers with the parameters I got from my data set. Then I compared these random numbers with the original data using the Kolmogorov Smirnov and the Anderson-Darling tests. Both rejected the Null hypothesis.
I would like to know why this happens and what could I do about it?