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I have got two databases $X_{S}$ and $X_{T}$ which are having different number of samples but the same size of feature-space. I am wandering which is the most efficient way to calculate the distance of those databases. How can I calculate the distance between their distributions?

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If you do know their distributions, you can use the KL-divergence to calculate the distance between their distributions. The problem is when you do not have any knowledge about their pdf s. You can perhaps have a look at this paper. Good luck

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  • $\begingroup$ A small suggestion: It is usually better to refer to papers by both a link and citation (at least title + authors) so that the paper can be recovered even if the link becomes dead. $\endgroup$ Aug 3, 2018 at 6:07

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