How to know which set is most likely to have been generated by some probability distribution? I have 3 sets of points in $R^n$: $X$, $A$ and $B$, how can I (preferably quickly) check which of the two sets $A$ and $B$ is most likely to have been generated by the same probability distribution as $X$ was generated by?

See en.wikipedia.org/wiki/Statistical_distance.
The most canonical distance measure seems to be the energy distance
$\int_{Domain} (p_X(x)-p_A(x))^2dx/{VolDomain}$
