[SciPy-Dev] scipy.stats.ks_2samp with weighted data

[josef.pktd at gmail.com]

On Sat, Apr 21, 2018 at 11:15 PM, Phillip Feldman <
phillip.m.feldman at gmail.com> wrote:

> Just out of curiosity: What is the significance of the weights?  If you
> are trying to represent the fact that distributional differences are more
> important in some regime than in another, e.g., you care more about the
> tails, then using weights is probably not the right approach.
>

I don't remember for sup tests like KS, but for integral tests like
Anderson-Darling there are variations of the test that use different
weights to emphasize different regions of the distribution, e.g. Cramer-Von
Mises uses different weights than AD
https://en.wikipedia.org/wiki/Anderson%E2%80%93Darling_test


I briefly skimmed parts of the Monahan chapter and that is specific for
importance sampling weights. In that case choosing the weights should just
compensate for the unequal sampling of points. So maybe in that case the
distribution of the KS (or AD) test statistic might not change much.

In either case, I think the distribution of the test statistic depends on
the meaning or interpretation of the weights.

Josef



>
> On Sat, Apr 21, 2018 at 4:42 PM, Corin Hoad <corinhoad at gmail.com> wrote:
>
>> Hello developers,
>>
>> I recently needed an implementation of the Kolmogorov-Smirnov 2 sample
>> test which required the incorporation of a weight associated with each
>> element of the data.  This lead me to this stackexchange answer
>> https://stats.stackexchange.com/questions/193439/two-sample-
>> kolmogorov-smirnov-test-with-weights where a procedure for a weighted
>> 2-sample KS test is taken from Numerical Methods of Statistics by Monohan.
>>
>> My current implementation of this can be found here:
>>
>> https://github.com/brunel-physics/tact/blob/2b0ee2a28a30f014
>> b103319118b64be52070f001/tact/metrics.py#L198
>>
>> Would there by any interest in incorporating this functionality into
>> scipy?
>>
>> Yours,
>>
>> Corin Hoad
>>
>>
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>
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