Dowd (version 0.12)

KuiperTestStat: Plots cummulative density for Kuiper test and computes confidence interval for Kuiper test stat.

Description

Kuiper test statistic is a non parametric test for distribution equality and is closely related to KS test. Formally, the Kuiper test statistic is : $$D*=\max_i{F(X_i)-\hat{F(x_i)}+\max_i{\hat{F}(X_i)-F(X_i)}$$

Usage

KuiperTestStat(number.trials, sample.size, confidence.interval)

Arguments

number.trials

Number of trials

sample.size

Sizes of the trial samples

confidence.interval

Confidence interval expressed as a fraction of 1

Value

• Confidence Interval for KS test stat

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# Plots the cdf for Kuiper Test statistic and returns Kuiper confidence
   # interval for 100 trials with 1000 sample size and 0.95 confidence
   # interval.
   KuiperTestStat(100, 1000, 0.95)