Two-Sample Test Based on Classification Probability
Statistics Theory
2019-09-18 v1 Statistics Theory
Abstract
Robust classification algorithms have been developed in recent years with great success. We take advantage of this development and recast the classical two-sample test problem in the framework of classification. Based on the estimates of classification probabilities from a classifier trained from the samples, a test statistic is proposed. We explain why such a test can be a powerful test and compare its performance in terms of the power and efficiency with those of some other recently proposed tests with simulation and real-life data. The test proposed is nonparametric and can be applied to complex and high dimensional data wherever there is a classifier that provides consistent estimate of the classification probability for such data.
Cite
@article{arxiv.1909.07836,
title = {Two-Sample Test Based on Classification Probability},
author = {Haiyan Cai and Bryan Goggin and Qingtang Jiang},
journal= {arXiv preprint arXiv:1909.07836},
year = {2019}
}