In[]:=
Remove["Global`*"];​​cdfK[x_]:=1+2Sum[
k
(-1)
Exp[-2
2
k
*
2
x
],{k,1,∞}];
In[]:=
n=2000;​​data=RandomReal[NormalDistribution[0,1],n];
In[]:=
KolmogorovSmirnovTest[data,NormalDistribution[μ,σ],"TestData"]​​dn=%[[1]]
Out[]=
{0.0114447,0.787394}
Out[]=
0.0114447
In[]:=
1-cdfK[dn*
n
]
Out[]=
0.955876