Lesson 13 of 13 7 min · 117 words
Kolmogorov distance
The largest gap between two cumulative distribution functions.
The Kolmogorov distance is the largest vertical gap between two cumulative distribution functions:
It is an IPM whose test functions are indicator functions of half-lines . It lies in and is the statistic of the Kolmogorov–Smirnov (KS) test, a classic non-parametric test for whether two samples come from the same distribution.
It is easy to compute and interpret, but it focuses on a single worst point and is mostly used for one-dimensional data.
Formula to remember
Cramér distance
Integrated squared gap between CDFs.
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