On a projective ensemble approach to two sample test for equality of distributions

Part of Proceedings of the International Conference on Machine Learning 1 pre-proceedings (ICML 2020)

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Authors

Zhimei Li, Yaowu Zhang

Abstract

In this work, we propose a robust test for the multivariate two-sample problem through projective ensemble, which is a generalization of the Cramer-von Mises statistic. The proposed test statistic has a simple closed-form expression without any tuning parameters involved, it is easy to implement can be computed in quadratic time. Moreover, our test is insensitive to the dimension and consistent against all fixed alternatives, it does not require the moment assumption and is robust to the presence of outliers. We study the asymptotic behaviors of the test statistic under the null and two kinds of alternative hypotheses. We also suggest a permutation procedure to approximate critical values and employ its consistency. We demonstrate the effectiveness of our test through extensive simulation studies and a real data application.