Kolmogorov-Smirnov Test Statistic - Quant Trader Interview Question
Difficulty: Medium
Category: Statistics & Regression
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Topics: statistics, hypothesis-testing, kolmogorov-smirnov, goodness-of-fit
Problem Description
You are analyzing the returns of a new trading strategy and want to assess whether they follow a normal distribution. You decide to use the Kolmogorov-Smirnov (KS) test to compare the empirical cumulative distribution function (ECDF) of the returns to the cumulative distribution function (CDF) of a normal distribution.
What does the KS test statistic fundamentally measure?
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