BUILTIN MATHEMATICA SYMBOL
DistributionFitTest
 DistributionFitTest performs a goodnessoffit hypothesis test with null hypothesis that data was drawn from a population with distribution dist and alternative hypothesis that it was not.
 By default, a probability value or value is returned.
 A small value suggests that it is unlikely that the data came from dist.
 The dist can be any symbolic distribution with numeric and symbolic parameters or a dataset.
 The data can be univariate or multivariate .
 DistributionFitTest[data, dist, Automatic] will choose the most powerful test that applies to data and dist for a general alternative hypothesis.
 DistributionFitTest[data, dist, All] will choose all tests that apply to data and dist.
 DistributionFitTest[data, dist, "test"] reports the value according to .
 Many of the tests use the CDF of the test distribution dist and the empirical CDF of the data as well as their difference and =Expectation[d(x), ...]. The CDFs and should be the same under the null hypothesis .
 The following tests can be used for univariate or multivariate distributions:

 "AndersonDarling"  distribution, data  based on Expectation[] 
 "CramerVonMises"  distribution, data  based on Expectation[d(x)^{2}] 
 "JarqueBeraALM"  normality  based on skewness and kurtosis 
 "KolmogorovSmirnov"  distribution, data  based on 
 "Kuiper"  distribution, data  based on 
 "PearsonChiSquare"  distribution, data  based on expected and observed histogram 
 "ShapiroWilk"  normality  based on quantiles 
 "WatsonUSquare"  distribution, data  based on Expectation[(d(x))^{2}] 
 The following tests can be used for multivariate distributions:

 "DistanceToBoundary"  uniformity  based on distance to uniform boundaries 
 "MardiaCombined"  normality  combined Mardia skewness and kurtosis 
 "MardiaKurtosis"  normality  based on multivariate kurtosis 
 "MardiaSkewness"  normality  based on multivariate skewness 
 "SzekelyEnergy"  data  based on Newton's potential energy 
 DistributionFitTest[data, dist, "HypothesisTestData"] returns a HypothesisTestData object htd that can be used to extract additional test results and properties using the form htd["property"].
 DistributionFitTest[data, dist, "property"] can be used to directly give the value of .
 Properties related to the reporting of test results include:

 "AllTests"  list of all applicable tests 
 "AutomaticTest"  test chosen if Automatic is used 
 "DegreesOfFreedom"  the degrees of freedom used in a test 
 "PValue"  list of values 
 "PValueTable"  formatted table of values 
 "ShortTestConclusion"  a short description of the conclusion of a test 
 "TestConclusion"  a description of the conclusion of a test 
 "TestData"  list of pairs of test statistics and values 
 "TestDataTable"  formatted table of values and test statistics 
 "TestStatistic"  list of test statistics 
 "TestStatisticTable"  formatted table of test statistics 
 The following properties are independent of which test is being performed.
 Properties related to the data distribution include:

 "FittedDistribution"  fitted distribution of data 
 "FittedDistributionParameters"  distribution parameters of data 
 The following options can be given:

 For a test for goodness of fit, a cutoff is chosen such that is rejected only if . The value of used for the and properties is controlled by the SignificanceLevel option. By default is set to 0.05.
 With the setting Method>"MonteCarlo", datasets of the same length as the input are generated under using the fitted distribution. The EmpiricalDistribution from DistributionFitTest[s_{i}, dist, {"TestStatistic", test}] is then used to estimate the value.
Test some data for normality:
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Create a HypothesisTestData object for further property extraction:
The full test table:
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Compare the histogram of the data to the PDF of the test distribution:
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Test the fit of a set of data to a particular distribution:
Extract the AndersonDarling test table:
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Verify the test results with ProbabilityPlot:
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Test data for goodness of fit to a multivariate distribution:
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Plot the marginal PDFs of the test distribution against the data to confirm the test results:
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