I have two high dimensional vectors (~150 dims), assumed to be sampled from multinomial distributions. How can I test whether the two are from the same multinomial distribution or different ones? (Especially if the samples are small.)
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kjetil b halvorsen
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user294869
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Hello, I guess with this high dimensions, it is impossible to fit multinomial model and use a Wald/score/likelihood ratio test.. I think it is possible to use a LASSO regression and perform test with it, but I'm not familiar with that. This question deals with that for logistic regression. An easy option could be to go Bayesian, use a non flat prior for the probabilities of the models and do Bayesian model selection... – Pohoua Nov 16 '20 at 00:27