Maximum Mean Discrepancy between two sets of variables

Joint (multivariate) measure of distributional discrepancy between x and y, using a Gaussian (RBF) kernel with bandwidth set by the median pairwise distance (biased estimator, Gretton et al. 2012).

Usage

mmd(x, y)

Arguments

x, y

Numeric matrices with the same number of columns.

Value

Numeric, the (biased) MMD estimate.

Examples

x <- matrix(rnorm(50), ncol = 5)
y <- matrix(rnorm(30) + 0.5, ncol = 5)
mmd(x, y)
#> [1] 0.3072319