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Topic: Problems with DistributionFitTest
Replies: 1   Last Post: Nov 1, 2011 7:29 AM

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Posts: 43
Registered: 7/24/09
Problems with DistributionFitTest
Posted: Nov 1, 2011 12:29 AM
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Dear Group

I'm not a specialist in statistics, but I spoke to one who found this
behaviour dubious.

Before using DistributionFitTest I was doing some tests with the
normal distribution, like this

data = RandomVariate[NormalDistribution[], 10000];



According to the documentation "A small p-value suggests that it is
unlikely that the data came from dist", and that the test assumes the
data is normally distributed

I found this result for the p-value to be really low, if I re-run the
code I often get what I would expect (a number greater than 0.5) but
it is not at all rare to obtain p values smaller than 0.05 and even
smaller. Through multiple re-runs I notice it fluctuates by orders of

The statistician I consulted with found this weird since the data was
drawn from a a normal distribution and the sample size is big,
especially because the Pearson X2 test also fluctuates like this:

H=DistributionFitTest[data, Automatic, "HypothesisTestData"];

H["TestDataTable", All]

Is this a real issue?

Any thougths

Best regards

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