C. Diks et al., DETECTING DIFFERENCES BETWEEN DELAY VECTOR DISTRIBUTIONS, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics, 53(3), 1996, pp. 2169-2176
We propose a test for the null hypothesis that two sets of vectors are
drawn from the same multidimensional probability distribution. The ap
plication to delay vector distributions provides a test for the null h
ypothesis that two time series have been generated by the same mechani
sm.