On a paradoxical property of the Kolmogorov-Smirnov two-sample test

Abstract

The two-sample Kolmogorov–Smirnov test can lose power as the size of one sample grows while the size of the other sample remains constant. In this case, a paradoxical situation takes place: the use of additional observations weakens the ability of the test to reject the null hypothesis when it is false.

Keywords

• paradoxical
• property
• the
• Kolmogorov–Smirnov
• two-sample
• test