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Medium · statistical_analysis · Quant Researcher interview question · cramer_von_mises, normality_test, goodness_of_fit, statistical_testing, risk_management
The Cramer-von Mises (CvM) test is a goodness-of-fit test that measures the discrepancy between an empirical distribution and a theoretical one. It is widely used in quantitative finance for backtesting model assumptions, such as verifying that a series of portfolio returns or P&L follows a normal distribution. Unlike the Kolmogorov-Smirnov test, the CvM test is often more sensitive to differences in the tails of the distributions. Task Implement the function cramer_von_mises_test(sample: list)