Journal
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
Volume 75, Issue 2, Pages 109-119Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/00949650410001661440
Keywords
two-sample test; multidimensional; goodness-of-fit; nonparametric
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We introduce a new statistical quantity, the energy, to test whether two samples originate from the same distributions. The energy is a simple logarithmic function of the distances of the observations in the variate space. The distribution of the test statistic is determined by a resampling method. The power of the energy test in one dimension was studied for a variety of different test samples and compared to several nonparametric tests. In two and four dimensions, a comparison was performed with the Friedman-Rafsky and nearest neighbor tests. The two-sample energy test was shown to be especially powerful in multidimensional applications.
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