KSMMD: Stata module to perform Weighted k-sample distributional test combining Kolmogorov-Smirnov (Kiefer's T) and Maximum Mean Discrepancy (MMD via Random Fourier Features)

Andres Talavera Cuya ()
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Andres Talavera Cuya: Direccion Nacional de Censos y Encuestas -- INEI Peru

Statistical Software Components from Boston College Department of Economics

Abstract: ksmmd tests whether k >= 2 groups (named by by()) come from the same distribution of varname, computing two test statistics from a single permutation resample: o a k-sample generalization of the Kolmogorov-Smirnov test (Kiefer's T -- Kiefer 1959), the same statistic kstest (Ariel Linden, SSC s459801) computes, but reimplemented here so that varname is sorted once (not re-sorted on every permutation) -- see Remarks: why reimplement kstest. o a k-sample generalization of the Maximum Mean Discrepancy (MMD -- Gretton et al. 2012) with an RBF kernel, approximated via Random Fourier Features (Rahimi & Recht 2007) so it stays tractable at survey-sized n (~10^5), unlike mmd_2s (Boston College SSC s459820), which only compares 2 groups with an exact O(N^2) kernel.

Language: Stata
Requires: Stata version 11
Keywords: distributions test; k-sample; KS test (search for similar items in EconPapers)
Date: 2026-09-17, Revised 2026-09-23
Note: This module should be installed from within Stata by typing "ssc install ksmmd". The module is made available under terms of the GPL v3 license.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/k/ksmmd.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/k/ksmmd.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/k/ksmmd_es.sthlp help file (text/plain)

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