Non‐ParametricInforma0on‐Theore0cMeasuresofOne‐DimensionalDistribu0onFunc0onsfromCon0nuousTimeSeries

PaoloD’AlbertoandAliDasdanYahoo!Inc.

Reference WindowReferencewindow:fromseriestoCDF(Fr)MovingWindow:fromseriestoCDF(Fw)

Series:stochas0cinstance

Measures:Applyallmeasuresof

Confidenceforallmeasures(i.e.,Fr=Fw):Givenaconfidenceorp‐value(5%)eachmeasureflagswhenFr=Fw(i.e.,R~W)

Disagreementandfinalvote(Fr=Fw):WedeclareFr=Fw,whennomorethan1outof10measuresdisagrees(disagreement0.1)

Confidenceforallmeasures:(spoiler)itissimplifiedbyusingCDF(comebyandIwillshowyouwhy/how/when)