Statistical distribution comparison for two datasets

Question

Kevin Zhu 2022-7-20

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https://ww2.mathworks.cn/matlabcentral/answers/1764135-statistical-distribution-comparison-for-two-datasets

回答： Jeff Miller 2022-7-21

For example I have two multivariate random variables a and b, and for a and b, I have N realizations for both of them such as

and

. I do not know the exact distribution of a and b, and I would like to know if they are approximately following the same distribution. Is there any method I can do that?

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Answer 1

Jeff Miller 2022-7-21

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https://ww2.mathworks.cn/matlabcentral/answers/1764135-statistical-distribution-comparison-for-two-datasets#answer_1012105

You could use manova if you just wanted to compare the centroids of the multivariate distributions, but it sounds like you want more than that--i.e., the ability to detect any sort of differences in the distributions, not just centroids.

If that is the case, you might be able to use a multivariate generalization of tests for full distributions.

I hope your N is huge...