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Kolmogorov-Smirnov test of normality [1 record]

Record 1 1986-10-27

English

Subject field(s)
  • Econometrics
CONT

In order to make statements about the probability of mean profits or losses after a given number of bets, an assumption must be made about the distribution of returns. Returns are assumed to be normally distributed with population parameters given by their sample estimates. Each series of returns is tested using the Kolmogorov-Smirnov test of normality. In no case can the hypothesis that the returns were drawn from a normal population be rejected at the 90 per cent level.

French

Domaine(s)
  • Économétrie
CONT

Pour calculer la probabilité que l'on réalise un profit moyen ou une perte moyenne après un certain nombre de paris, il faut d'abord formuler une hypothèse au sujet de la distribution des rendements. On suppose que les rendements sont distribués de façon normale, les paramètres de la population étant donnés par les valeurs estimées à partir de l'échantillon. Chaque série de rendements est ensuite soumise au test de normalité de Kolmogorov-Smirnov. On ne peut en aucun cas rejeter à un seuil de signification de 90% l'hypothèse que les rendements sont tirés d'une population normale.

Spanish

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