mmd_test.py 文件源码

def linear_hotelling_test(X, Y, reg=0):
    n, p = X.shape
    Z = X - Y
    Z_bar = Z.mean(axis=0)

    Z -= Z_bar
    S = Z.T.dot(Z)
    S /= (n - 1)
    if reg:
        S[::p + 1] += reg
    # z' inv(S) z = z' inv(L L') z = z' inv(L)' inv(L) z = ||inv(L) z||^2
    L = linalg.cholesky(S, lower=True, overwrite_a=True)
    Linv_Z_bar = linalg.solve_triangular(L, Z_bar, lower=True, overwrite_b=True)
    stat = n * Linv_Z_bar.dot(Linv_Z_bar)

    p_val = stats.chi2.sf(stat, p)
    return p_val, stat