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 the more widespread permutation-based approach, 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, the linear-time versions of our proposed tests perform at least as well as the current linear-time state-of-the-art tests.
翻译:我们提出了一系列计算效率高的非参数测试,分别用于两个样本、独立和完善的问题。我们提出了一系列计算效率高的非参数测试,分别使用最大平均值差异(MMD)、Hilbert Schmich 独立标准(HSIC)和Kernel Stein标准(KSD)。我们的测试统计数据不完全美元统计,计算成本在样本数量的线性时间和二次时间之间互译,与传统的美元统计测试相关。三个拟议测试在几个核心带带宽上加起来,以探测从不同尺度的空格差(MMDAggc、HSICAggInc和KSDAggInc。这个程序为基本核心内核选择问题提供了解决方案,因为我们可以将大量带有多个带宽且不会造成重大测试力损失的内核电量。关于野生价格基础的所有基底值不完全以美元计算,这是独立的兴趣所在的。我们用不成熟的内核电量值测试框架取得了MDM的不完全的内核数据。我们用在不精确的货币交易利率上展示了当前测试和新数据测试结果。