Two-sample test based on maximum variance discrepancy

N. Makigusa

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 15, 5421-5438

Abstract: In this article, we introduce a novel discrepancy called the maximum variance discrepancy for the purpose of measuring the difference between two distributions in Hilbert spaces that cannot be found via the maximum mean discrepancy. We also propose a two-sample goodness of fit test based on this discrepancy. We obtain the asymptotic null distribution of this two-sample test, which provides an efficient approximation method for the null distribution of the test.

Date: 2024
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DOI: 10.1080/03610926.2023.2220851

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