hw11 - IEOR 4404 Assignment #11 Simulation December 7, 2006...

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Unformatted text preview: IEOR 4404 Assignment #11 Simulation December 7, 2006 Prof. Mariana Olvera-Cravioto Page 1 of 2 Assignment #11 due December 11th, 2006 1. The p-value of the Kolmogorov-Smirnov test is defined as p-value = P F ( D n > d ) where F is the hypothesized distribution for the iid observations X 1 ,X 2 ,...,X n and D n = sup x {| F n ( x )- F ( x ) |} . The p-value measures the probability that we are correct in accepting the hypothesis that the X i s have distribution F based on a result D n = d . It can be shown that P F ( D n > d ) = P max y 1 # i : U i y n- y d for all continuous distributions F , where the U i s are iid Uniform(0,1) random variables. Generate the values of 10 independent exponential random variables each having mean 2 and compute their Kolmogorov-Smirnov statistic, D n . Use simulation to approximate the p-value of the test, that is, if the value of the statistic is D n = d , approximate the quantity P max y 1 # i : U i...
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This note was uploaded on 11/17/2010 for the course IEOR 4404 taught by Professor C during the Spring '10 term at Columbia.

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hw11 - IEOR 4404 Assignment #11 Simulation December 7, 2006...

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