TwoSampleTest.HD: A Two-Sample Test for the Equality of Distributions for High-Dimensional Data

For high-dimensional data whose main feature is a large number, p, of variables but a small sample size, the null hypothesis that the marginal distributions of p variables are the same for two groups is tested. We propose a test statistic motivated by the simple idea of comparing, for each of the p variables, the empirical characteristic functions computed from the two samples. If one rejects this global null hypothesis of no differences in distributions between the two groups, a set of permutation p-values is reported to identify which variables are not equally distributed in both groups.

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