The AUGUST Two-Sample Test: Powerful, Interpretable, and Fast
Benjamin Brown,
Kai Zhang
Abstract:Two-sample testing is a fundamental problem in statistics, and many famous two-sample tests are designed to be fully non-parametric. These existing methods perform well with location and scale shifts but are less robust when faced with more exotic classes of alternatives, and rejections from these tests can be difficult to interpret. Here, we propose a new univariate non-parametric two-sample test, AUGUST, designed to improve on these aspects. AUGUST tests for inequality in distribution up to a predetermined r… Show more
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