For example, we could say I have two fruit classes (oranges and apples) and for each one I measured different statistics of interest, for example: width, height, sugar, water... of a lot of fruit units. Therefore, for each of the statistics I have a probability distribution based on the, let's say, 100,000 different fruits measured.
Width Height Sugar
Apple X1 Y1 Z1
Orange X2 Y2 Z2
In this case, the distributions are probably normal distributed, but in my case they are not. I don't know the type of distribution.
I would like to compare them in order to see «how similar» they are. I searched and I found a lot of tests for checking the divergence (or distance) between distributions (Kullback-Leibler, Kolmogorov-Smirnov, Hellinger, Jensen-Shannon...). The problem is that with them I can only compare two distributions (for example apple and orange width). It would be better to take all the statistics of interest together for the comparison.
Therefore, I would like to know a Multivariate nonparametric technique for comparing the divergences/distances between the distributions that gives a number. For example, DIST(X1,Y1,Z1 | X2,Y2,Z2) = value between [0,1], meaning that there is no divergence or there is a lot, respectively.
