I have two multivariate data sets, one is simulated, and I want a test to compare how similar their distributions are. The data set is discrete and the distribution is unknown. In other words, I am looking for an alternative for KS, AD or similar univariate statistical tests that cab be applied for multivariate data.
I appreciate your answers.
Solved – Compare Two Multivariate Data sets
multivariate analysis
Best Answer
Compute a distance metric between your two observed matrixes. Then to determine if that distance is significant, you use a permutation test. You can refer to this, it seems that your question is a duplicate of this one.