A Kernel Method for the Two-Sample Problem

@inproceedings{Gretton2006AKM,
  title={A Kernel Method for the Two-Sample Problem},
  author={Arthur Gretton and Karsten M. Borgwardt and Malte J. Rasch and Bernhard Sch{\"o}lkopf and Alexander J. Smola},
  booktitle={NIPS},
  year={2006}
}
We propose a framework for analyzing and comparing distributions, allowing us to design statistical tests to determine if two samples are drawn from different distributions. Our test statistic is the largest difference in expectations over functions in the unit ball of a reproducing kernel Hilbert space (RKHS). We present two tests based on large deviation bounds for the test statistic, while a third is based on the asymptotic distribution of this statistic. The test statistic can be computed… CONTINUE READING
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