Find overlapping surface area of two distributions
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Consider two sets of observations, X and Y, being generated out a unknown distribution not matching closely to a the shape of a simple parametric distribution. How to find the area of overlap of these two distributions using Matlab? I don't want any approximations (other than numerical) as maybe these are available (like Bhattacharyya distance). I found some nice articles describing non-parametric methods for estimating the overlap (see below), but no existing matlab script to do this. It seems such a common problem for me that it's hard to believe no scripts have been written for this. If you know of any, let me know!
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