Kernel based method for the $k$-sample problem

Abstract

In this paper we deal with the problem of testing for the equality of $k$ probability distributions defined on $(\mathcal{X},\mathcal{B})$, where $\mathcal{X}$ is a metric space and $\mathcal{B}$ is the corresponding Borel $\sigma$-field. We introduce a test statistic based on reproducing kernel Hilbert space embeddings and derive its asymptotic distribution under the null hypothesis. Simulations show that the introduced procedure outperforms known methods.

30 pages, 4 figures