1

Kolmogorov-Smirnov Normality Test

(Data Analysis Task Force)
Ian Hoogendam
IEEE JTCM
January 15th, 2014
 Kolmogorov-Smirnov Normality Test
• Kolmogorov-Smirnov(KS) can be used to test
normality of data
• Tested 1-5 years of data for all companies who
allowed additional studies
• Statisticians often pick a p-value > .05 to
determine goodness of fit to the distribution
• If the p-value is < .05 the distribution does not
fit the assumed distribution
 Number of companies meeting p>.05

2008-2012
Years 5 4 3 2 1
p>.05 33 41 50 61 75
p<.05 66 58 49 38 24
2007-2011
Years 5 4 3 2 1
p>.05 39 37 56 67 79
p<.05 60 62 43 32 20
 Companies with P value > .05 using 5 years of data (2007-2011)
5 years 4years 3years 2years 1 year Max P MEDs Company_Code Company Size
6.46E-02 0.114262 0.412549 0.433182 0.196431 4.33E-01 3 u104 Small
0.116705 3.44E-02 9.25E-02 0.143096 0.543829 5.44E-01 3 u108 Medium
0.536521 0.718708 0.851975 0.948367 0.996635 9.97E-01 1 u110 Medium
0.223926 0.248347 0.298687 0.265173 0.566972 5.67E-01 5 U116 Medium MED days:
6.46E-02 4.64E-02 0.114798 6.98E-02 0.32514 3.25E-01 14 U117 Medium
7.50E-02 0.235994 0.379053 0.426777 0.595873 5.96E-01 4 U121 Medium Average 5.2
5.40E-02 4.46E-02 0.156252 1.23E-01 0.154835 1.56E-01 6 U124 Medium
0.210504 0.326032 0.251147 0.750773 0.882646 8.83E-01 9 u126 Medium Median 5
0.146254 7.83E-02 6.89E-02 0.148546 0.063609 1.49E-01 3 u131 Small
5.32E-02 0.132475 0.243629 0.257165 0.263041 2.63E-01 2 u133 Medium
0.91499 0.956553 0.971077 0.973067 0.673962 9.73E-01 7 u134 Small
0.142641 0.142584 0.354385 0.267961 0.71022 7.10E-01 2 U157 Small
0.107873 7.34E-02 0.123937 2.44E-01 0.178874 2.44E-01 2 U158 Small
0.156396 0.307658 0.511599 0.576481 0.865101 8.65E-01 7 U160 Medium
0.778136 0.673483 0.52076 0.754776 0.503632 7.78E-01 2 U161 Medium
9.19E-02 9.20E-02 0.178175 0.151149 0.166432 1.78E-01 2 U163 Small
0.164848 0.130769 0.367186 0.660462 0.613704 6.60E-01 5 u196 Medium
0.425847 0.418657 0.369413 8.26E-01 0.890268 8.90E-01 16 u206 Medium
0.543632 0.577514 0.30494 4.52E-01 0.173379 5.78E-01 8 u207 Medium
0.855328 0.845217 0.663681 0.738811 0.46429 8.55E-01 7 u208 Medium
0.872188 0.973856 0.993333 0.882534 0.671427 9.93E-01 7 u209 Small
0.248443 0.16069 0.176747 0.179064 0.461621 4.62E-01 4 u21 Large
0.07509 0.10689 0.110931 4.16E-01 0.189489 4.16E-01 5 U214 Medium
0.592799 0.636382 0.458839 0.494931 0.721554 7.22E-01 9 U218 Medium
5.79E-02 8.62E-02 0.147362 0.126759 8.60E-02 1.47E-01 1 u25 Medium
8.42E-02 3.11E-02 0.415517 0.755394 0.950438 9.50E-01 10 u40 Medium
0.132039 0.191042 0.173966 1.57E-01 0.157452 1.91E-01 8 u44 Medium
0.115369 0.133418 0.138333 0.246389 0.510988 5.11E-01 2 u46 Small
0.118777 5.09E-02 0.124702 2.67E-01 0.212782 2.67E-01 9 u58 Medium
0.050061 0.109033 0.123794 1.73E-01 0.233646 2.34E-01 8 u60 Medium
0.204465 0.418733 0.621529 0.665223 0.632254 6.65E-01 5 u61 Medium
0.171178 0.34291 0.393017 0.424237 0.685096 6.85E-01 4 u62 Large
0.516351 0.511743 0.642779 0.932725 0.990474 9.90E-01 2 u63 Small
0.786049 0.428704 0.706911 0.670473 0.630888 7.86E-01 2 u64 Small
0.80456 0.750832 0.935718 0.933391 0.771899 9.36E-01 0 u76 Medium
0.177462 7.85E-02 0.171631 0.305698 0.313707 3.14E-01 5 u80 Medium
0.256704 0.256793 0.332492 0.487725 0.40886 4.88E-01 4 U82 Medium
9.94E-02 3.16E-02 0.121375 5.07E-01 0.349911 5.07E-01 8 u83 Medium
7.79E-02 0.400988 0.21112 0.482585 0.831416 8.31E-01 2 U88 Medium
 Companies that do not meet p>.05
5 years 4years 3years 2years 1 year Max P MEDs Company_Code Company Size
1.04E-04 7.01E-04 1.16E-03 1.03E-02 3.84E-02 3.84E-02 14 u127 Medium
3.76E-05 9.52E-05 1.38E-04 4.79E-04 1.79E-02 1.79E-02 16 u16 Large
6.85E-04 4.63E-03 1.36E-02 3.59E-02 3.76E-02 3.76E-02 0 U164 Medium
4.20E-14 8.37E-13 9.46E-10 5.46E-06 2.58E-03 2.58E-03 14 u195 Large
1.04E-08 4.47E-07 1.05E-05 3.29E-04 5.18E-03 5.18E-03 5 U20 Large MED days:
2.46E-06 1.77E-05 2.29E-04 2.05E-04 1.04E-02 1.04E-02 9 U202 Large
3.88E-05 2.35E-05 1.50E-03 5.66E-03 3.74E-02 3.74E-02 10 U215 Medium
Average 8.2
1.11E-16 5.55E-16 2.46E-12 1.66E-10 9.60E-07 9.60E-07 4 U51 Large Median 8.5
4.62E-12 3.15E-10 1.15E-06 9.22E-05 3.61E-03 3.61E-03 16 u52 Large
1.47E-10 9.24E-11 3.72E-08 2.82E-07 3.45E-05 3.45E-05 10 u53 Large
3.80E-08 1.56E-07 5.23E-06 1.52E-05 2.81E-03 2.81E-03 9 u55 Large
0 0 1.61E-09 1.74E-07 3.35E-06 3.35E-06 5 u66 Large
2.62E-04 5.92E-03 6.44E-03 1.42E-02 5.65E-03 1.42E-02 6 u67 Large
2.01E-14 1.73E-13 2.10E-09 1.40E-07 7.77E-07 7.77E-07 8 u7 Large
1.92E-06 1.14E-05 7.39E-05 3.30E-03 1.62E-02 1.62E-02 4 U84 Large
3.95E-03 1.04E-02 3.40E-02 4.54E-02 4.38E-02 4.54E-02 11 u85 Medium
6.25E-06 3.55E-06 1.06E-04 4.36E-04 4.51E-04 4.51E-04 4 U9 Medium
1.11E-06 7.06E-06 3.86E-04 3.78E-04 5.81E-03 5.81E-03 2 u95 Large
 Companies Meeting p>.05 with 1-4 years
5 years 4years 3years 2years 1 year Max P MEDs Company_Code Company Size
0.016224 6.61E-03 2.67E-02 1.08E-01 5.37E-02 1.08E-01 7 u1 Large
3.64E-04 1.28E-03 0.05705 0.111943 0.540736 5.41E-01 8 U10 Medium
2.14E-03 4.09E-03 4.00E-02 2.17E-01 0.123712 2.17E-01 7 u106 Large
3.81E-02 8.14E-02 0.122085 0.223188 0.609078 6.09E-01 4 u109 Large
1.62E-03 4.44E-03 2.07E-02 2.06E-02 0.307354 3.07E-01 8 U114 Medium
5.51E-04 3.44E-03 0.017616 1.24E-01 0.279325 2.79E-01 10 u12 Large
8.77E-05 5.30E-03 0.026939 6.79E-02 0.121634 1.22E-01 4 U120 Medium
1.43E-04 2.83E-03 1.53E-02 3.59E-02 0.316043 3.16E-01 2 U123 Small
2.83E-02 0.150133 0.419388 0.445214 0.683671 6.84E-01 4 U125 Medium
3.26E-03 1.37E-03 1.79E-02 3.47E-02 0.317681 3.18E-01 10 u128 Medium
3.01E-04 2.71E-03 1.52E-03 1.97E-02 0.466139 4.66E-01 2 u129 Medium
1.45E-02 1.01E-02 9.58E-02 0.43884 0.208851 4.39E-01 9 u130 Medium
8.38E-03 9.00E-03 5.65E-02 1.42E-02 4.06E-02 5.65E-02 6 u132 Medium
1.05E-03 7.74E-03 1.40E-02 1.21E-01 0.13242 1.32E-01 5 U14 Medium
4.85E-07 8.19E-06 2.68E-04 7.28E-03 9.25E-02 9.25E-02 3 U146 Large
1.61E-05 7.01E-06 6.32E-05 6.08E-03 5.08E-02 5.08E-02 10 u15 Large
6.58E-03
4.27E-02
1.46E-06
6.85E-03
4.26E-02
7.91E-05
7.32E-02
9.07E-02
4.00E-03
0.17894
2.34E-01
4.83E-02
0.302675 3.03E-01
0.187455 2.34E-01
0.147513 1.48E-01
2 u159
0 U201
4 U203
Medium
Large
Large
MED days:
3.73E-03 3.74E-03 1.92E-03 8.03E-04 0.215762 2.16E-01 1 U204 Medium
4.08E-03
1.05E-06
3.12E-03
1.71E-02
1.94E-05
4.45E-03
0.026973
2.79E-05
1.09E-02
0.154503
3.02E-03
5.49E-02
0.862689 8.63E-01
6.26E-02 6.26E-02
0.269016 2.69E-01
5 u205
1 u210
2 u211
Medium
Medium
Medium
Average 5.3
3.11E-02
1.49E-05
1.21E-02
0.038338
2.32E-05
1.23E-02
5.42E-02
0.007306
0.875127
8.35E-02
3.03E-01
0.827512
0.238135 2.38E-01
0.494528 4.95E-01
0.869913 8.75E-01
4 U212
9 U213
8 U216
Medium
Medium
Medium
Median 4.5
1.49E-03 3.52E-04 0.22027 2.80E-01 0.231586 2.80E-01 12 U217 Medium
2.03E-02 4.34E-02 0.146314 0.407586 0.19138 4.08E-01 3 U219 Medium
3.05E-03 2.58E-03 2.91E-02 7.97E-02 0.22498 2.25E-01 1 U22 Small
3.79E-02 0.020322 0.248434 0.561851 0.754137 7.54E-01 5 u41 Medium
1.10E-02 5.72E-03 6.37E-02 1.15E-01 0.199014 1.99E-01 10 u43 Medium
7.96E-06 5.33E-05 1.54E-03 3.72E-03 5.27E-02 5.27E-02 2 U47 Large
1.45E-03 3.76E-03 1.04E-02 1.67E-02 0.482766 4.83E-01 10 U49 Large
8.08E-04 1.93E-03 3.72E-03 9.00E-02 0.490763 4.91E-01 2 u57 Small
3.83E-02 4.53E-02 0.111359 0.399244 0.774012 7.74E-01 4 U6 Large
2.32E-03 0.019947 5.25E-02 0.260556 0.907421 9.07E-01 4 u65 Medium
1.38E-03 1.51E-03 2.54E-02 8.96E-02 0.33373 3.34E-01 1 u68 Medium
3.00E-03 1.49E-02 0.12953 0.129144 0.434022 4.34E-01 5 u8 Large
0.016982 4.12E-02 6.87E-02 6.42E-02 4.05E-02 6.87E-02 5 U86 Large
1.75E-02 8.59E-02 3.12E-02 6.26E-02 0.104216 1.04E-01 20 u87 Medium
4.67E-05 6.70E-04 2.33E-03 2.95E-02 9.53E-02 9.53E-02 0 U90 Small
1.13E-03 3.24E-03 3.03E-03 1.99E-02 9.04E-02 9.04E-02 5 U94 Large
Example distribution for company with
p-value < .05
 Peak KS P-Value Varying StDev and Mean of Test Distribution
2.07
2.05
2.03
2.01
1.99
1.97
1.95 0.65-0.7
1.93
0.6-0.65
1.91
1.89 0.55-0.6
1.87
0.5-0.55
Population: 1.85
0.45-0.5
ߤ ൌ െʹǤͳʹ 1.83
1.81 0.4-0.45
ߪ ൌ ͳǤ͹͹

StDev
1.79
P-Value < .05 1.77 0.35-0.4
1.75 0.3-0.35
1.73
1.71
0.25-0.3
1.69 0.2-0.25
Max P-Value: 1.67
0.15-0.2
ߤ=−2.16 1.65
1.63 0.1-0.15
ߪ=1.61 1.61
0.05-0.1
1.59
1.57 0-0.05
1.55
1.53
1.51
1.49
-2.2

-2.1

-2
-2.24
-2.22

-2.18
-2.16
-2.14
-2.12

-2.08
-2.06
-2.04
-2.02

-1.98
-1.96

Mean