I have sample-data for two multivariate normal distributions. From this sample-data, I can calculate each distribution’s parameters (means and standard deviations).
- How do I quantify the distance (or divergence) between these two multivariate normal distributions? I don’t mind whether I use the sample-data or the distribution parameters to make this quantification.
- Given the chosen test in (1), how do I calculate an accompanying p-value which can be used to reject the null hypothesis for the given pair of multivariate normal distributions?
While I can implement solutions in Python, I’m no stats expert, and would appreciate explanations formatted as such; for complex explanations, corresponding simplifications would be very useful.