Date: Thu, 14 Dec 2006 14:59:01 -0800
Reply-To: David L Cassell <davidlcassell@MSN.COM>
Sender: "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From: David L Cassell <davidlcassell@MSN.COM>
Subject: Re: Computing the value KS statistic
Content-Type: text/plain; format=flowed
>I am using the KS statistic to determine how well the model scores
>(credit card world).
>I am confused on the way the KS value is computed.
>I read in one of the earlier SAs post that "The actual KS statistic is
>the maximum difference between the two disitribution values multiplied
>by sqrt(N1*N2/(N1+N2)), where N1 and N2 are the
>sizes of the two population". However, I also read an internal document
>where the KS value is
>determined to be the maximum difference between the two distribution
>Any help in this matter is really appreciated.
Both are called 'the Kolmogorov-Smirnov statistic'. It depends which
book you are reading.
If the reference is to the Kolmogorov-Smirnov D, then that is
typically the unscaled max absolute difference. Then that is
typically multiplied by a constant - the constant you are talking
about - in order to get the classical asymptotic approximation.
David L. Cassell
3115 NW Norwood Pl.
Corvallis OR 97330
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