Publication: On the Use of Random Forest for Two-Sample Testing
On the Use of Random Forest for Two-Sample Testing
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Hediger, S., Michel, L., & Näf, J. (2019). On the Use of Random Forest for Two-Sample Testing (No. 190306287; ArXiv.Org). https://doi.org/10.48550/arXiv.1903.06287
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We follow the line of using classifiers for two-sample testing and propose several tests based on the Random Forest classifier. The developed tests are easy to use, require no tuning and are applicable for any distribution on Rp, even in high-dimensions. We provide a comprehensive treatment for the use of classification for two-sample testing, derive the distribution of our tests under the Null and provide a power analysis, both in theory and with simulations. To simplify the use of the method, we also provide the R-package "hypoRF".
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Hediger, S., Michel, L., & Näf, J. (2019). On the Use of Random Forest for Two-Sample Testing (No. 190306287; ArXiv.Org). https://doi.org/10.48550/arXiv.1903.06287
