Problem Note 39746: KS statistic has p-value of 1 for fits in SAS® OpRisk VaR 4.1
For a fitted model in SAS OpRisk VaR 4.1, the Anderson-Darling (AD) statistic and the Cramer von Mises (CVM) statistic might have p-values of 0 while the Kolmogorov-Smirnov (KS) statistic has a p-value of 1. In this case, the p-value for the KS statistic is wrong, and it should be 0.
The workaround is to use Goodness-of-Fit statistics other than the KS statistic to evaluate the fit of the models.
Operating System and Release Information
| SAS System | SAS OpRisk VaR | 64-bit Enabled AIX | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| 64-bit Enabled HP-UX | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| 64-bit Enabled Solaris | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| HP-UX IPF | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Windows Vista for x64 | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Windows Vista | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Microsoft Windows XP Professional | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Microsoft Windows Server 2008 for x64 | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Microsoft Windows Server 2003 for x64 | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Microsoft® Windows® for x64 | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Microsoft Windows Server 2003 Standard Edition | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Microsoft Windows Server 2003 Enterprise Edition | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Microsoft Windows Server 2003 Datacenter Edition | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Solaris for x64 | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Linux for x64 | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Linux | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
*
For software releases that are not yet generally available, the Fixed
Release is the software release in which the problem is planned to be
fixed.
| Type: | Problem Note |
| Priority: | medium |
| Date Modified: | 2010-05-25 10:26:59 |
| Date Created: | 2010-05-24 17:46:20 |
