Comparing a large number of multivariate distributions (Q2214253)

The author introduces a new nonparametric \(K\)-sample test based on the maximum mean discrepancy. The limiting distribution of the proposed test statistic is derived based on the Cramér-type moderate deviation for degenerate two-sample \(V\)-statistics. However, the obtained limiting distribution relies on an infinite number of nuisance parameters, which are intractable in general. Therefore, a permutation approach to determine the cut-off value of the test is used. A concentration inequality for the proposed test statistic with a sharp exponential tail bound under permutations is presented. This result is used to study the power of the suggested permutation test when both \(K\) and \(N\) are large. The author claims that his vast simulations show that the proposed permutation test is powerful against sparse alternatives. The proofs are not presented and can be found in \url{doi:10.3150/20-BEJ1244SUPP}.