MATLAB: Question about Anderson-Darling (adtest)

MATLABstatistics

I want to check if two data sets have similar distribution. I would like to use Anderson-darling test in order to do that, But adtest() in Matlab returns a test decision for the null hypothesis that the data in vector x is from a population with a normal distribution. My question is how to check if two data sets have similar distribution or not (without specifying the nature of that distributions).
So is it possible to do that in Matlab?
Thanks

Best Answer

Not using adtest. Like the Ford Model T, which Henry Ford sold in any color as long as the color you wanted was black, adtest tests to see if your distriution is any distribution, as long as normal is the distribution you want to test against.
Instead, you probably want to use a Kolmogorov-Smirnov test.
http://www.mit.edu/~6.s085/notes/lecture5.pdf
From the help for kstest2:
kstest2 Two-sample Kolmogorov-Smirnov goodness-of-fit hypothesis test.
    H = kstest2(X1,X2) performs a Kolmogorov-Smirnov (K-S) test 
    to determine if independent random samples, X1 and X2, are drawn from 
    the same underlying continuous population.
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