On a new multivariate two-sample test

L. Baringhaus and C. Franz

Journal of Multivariate Analysis, 2004, vol. 88, issue 1, 190-206

Abstract: In this paper we propose a new test for the multivariate two-sample problem. The test statistic is the difference of the sum of all the Euclidean interpoint distances between the random variables from the two different samples and one-half of the two corresponding sums of distances of the variables within the same sample. The asymptotic null distribution of the test statistic is derived using the projection method and shown to be the limit of the bootstrap distribution. A simulation study includes the comparison of univariate and multivariate normal distributions for location and dispersion alternatives. For normal location alternatives the new test is shown to have power similar to that of the t- and T2-Test.

Keywords: Multivariate; two-sample; test; Bootstrapping; Projection; method; Orthogonal; invariance; Cramer; test (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (18)

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