In this example, the linear time MMD statistic for kernel-based two-sample
testing is illustrated. It is a streaming based statistic for large amounts
of data. The used dataset is a bunch of standard Gaussian vectors where the
first dimensions differs in both distributions p and q. The test statistic
is computed and available methods for computing a threshold of the null
distribution are used. In addition, p-values for the test are computed.
Note that these methods require more iterations/samples that used here. A
Gaussian is selected via the median heuristic. There are more clever
kernel selection methods available.
See tutorial and Class documentation for more details.
