I will describe an approach to search for new phenomena in data, by detecting discrepancies between two datasets. These could be, for example, a simulated standard-model background, and an observed dataset containing a potential hidden signal of New Physics.
I will propose a new statistical test, built upon a test statistic which measures deviations between two samples, using a Nearest Neighbors approach to estimate the local ratio of the density of points.
The test is model-independent and non-parametric, requiring no knowledge of the shape of the underlying distributions, and it does not bin the data, thus retaining full information from the multidimensional feature space.
As a by-product, the technique is also a useful tool to identify regions of interest for further study.
As a proof-of-concept, I will show the power of the method when applied to synthetic Gaussian data, and to a simulated dark matter signal at the LHC.