Keywords: kernel methods, hypothesis tests, adaptivity
TL;DR: We propose computationally efficient aggregated kernel tests using incomplete U-statistics.
Abstract: We propose a series of computationally efficient, nonparametric tests for the two-sample, independence and goodness-of-fit problems, using the Maximum Mean Discrepancy (MMD), Hilbert Schmidt Independence Criterion (HSIC), and Kernel Stein Discrepancy (KSD), respectively. Our test statistics are incomplete $U$-statistics, with a computational cost that interpolates between linear time in the number of samples, and quadratic time, as associated with classical $U$-statistic tests. The three proposed tests aggregate over several kernel bandwidths to detect departures from the null on various scales: we call the resulting tests MMDAggInc, HSICAggInc and KSDAggInc. This procedure provides a solution to the fundamental kernel selection problem as we can aggregate a large number of kernels with several bandwidths without incurring a significant loss of test power. For the test thresholds, we derive a quantile bound for wild bootstrapped incomplete $U$-statistics, which is of independent interest. We derive non-asymptotic uniform separation rates for MMDAggInc and HSICAggInc, and quantify exactly the trade-off between computational efficiency and the attainable rates: this result is novel for tests based on incomplete $U$-statistics, to our knowledge. We further show that in the quadratic-time case, the wild bootstrap incurs no penalty to test power over more widespread permutation-based approaches, since both attain the same minimax optimal rates (which in turn match the rates that use oracle quantiles). We support our claims with numerical experiments on the trade-off between computational efficiency and test power. In all three testing frameworks, our proposed linear-time tests outperform the current linear-time state-of-the-art tests (or at least match their test power).
Supplementary Material: pdf
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