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Using Scipy's stats.kstest module for goodness-of-fit testing says, "first value is the test statistics, and second value is the p-value. When txt = FALSE (default), if the p-value is less than .01 (tails = 2) or .005 (tails = 1) then the p-value is given as 0 and if the p-value is greater than .2 (tails = 2) or .1 (tails = 1) then the p-value is given as 1. The Kolmogorov-Smirnov test, however, goes one step further and allows us to compare two samples, and tells us the chance they both come from the same distribution. were drawn from the standard normal, we would expect the null hypothesis When doing a Google search for ks_2samp, the first hit is this website. machine learning - KS-statistic decile seperation - significance Next, taking Z = (X -m)/m, again the probabilities of P(X=0), P(X=1 ), P(X=2), P(X=3), P(X=4), P(X >=5) are calculated using appropriate continuity corrections. This test is really useful for evaluating regression and classification models, as will be explained ahead. The codes for this are available on my github, so feel free to skip this part. scipy.stats.ks_2samp(data1, data2, alternative='two-sided', mode='auto') [source] . The best answers are voted up and rise to the top, Not the answer you're looking for? In the same time, we observe with some surprise . empirical CDFs (ECDFs) of the samples. I thought gamma distributions have to contain positive values?https://en.wikipedia.org/wiki/Gamma_distribution. 11 Jun 2022. You can use the KS2 test to compare two samples. How to interpret KS statistic and p-value form scipy.ks_2samp? x1 (blue) because the former plot lies consistently to the right What video game is Charlie playing in Poker Face S01E07? How to handle a hobby that makes income in US. What is the point of Thrower's Bandolier? So i've got two question: Why is the P-value and KS-statistic the same? Asking for help, clarification, or responding to other answers. Main Menu. I know the tested list are not the same, as you can clearly see they are not the same in the lower frames. If you're interested in saying something about them being. A place where magic is studied and practiced? Newbie Kolmogorov-Smirnov question. thanks again for your help and explanations. Fitting distributions, goodness of fit, p-value. So I conclude they are different but they clearly aren't? greater: The null hypothesis is that F(x) <= G(x) for all x; the By clicking Accept all cookies, you agree Stack Exchange can store cookies on your device and disclose information in accordance with our Cookie Policy. The p-values are wrong if the parameters are estimated. When doing a Google search for ks_2samp, the first hit is this website. Finally, note that if we use the table lookup, then we get KS2CRIT(8,7,.05) = .714 and KS2PROB(.357143,8,7) = 1 (i.e. You can find the code snippets for this on my GitHub repository for this article, but you can also use my article on Multiclass ROC Curve and ROC AUC as a reference: The KS and the ROC AUC techniques will evaluate the same metric but in different manners. I should also note that the KS test tell us whether the two groups are statistically different with respect to their cumulative distribution functions (CDF), but this may be inappropriate for your given problem. scipy.stats.ks_2samp SciPy v0.14.0 Reference Guide KS2PROB(x, n1, n2, tails, interp, txt) = an approximate p-value for the two sample KS test for the Dn1,n2value equal to xfor samples of size n1and n2, and tails = 1 (one tail) or 2 (two tails, default) based on a linear interpolation (if interp = FALSE) or harmonic interpolation (if interp = TRUE, default) of the values in the table of critical values, using iternumber of iterations (default = 40).