Kernel two-sample tests in high dimensions: interplay between moment discrepancy and dimension-and-sample orders

• 成果类型: Article
• 署名作者: Yan, Jian; Zhang, Xianyang
• 署名单位: Texas A&M University System; Texas A&M University College Station
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asac049
• 发表日期: 2023
• 页码: 411430
• 关键词: distance; smirnov; METRICS

摘要

Motivated by the increasing use of kernel-based metrics for high-dimensional and large-scale data, we study the asymptotic behaviour of kernel two-sample tests when the dimension and sample sizes both diverge to infinity. We focus on the maximum mean discrepancy using an isotropic kernel, which includes maximum mean discrepancy with the Gaussian kernel and the Laplace kernel, and the energy distance as special cases. We derive asymptotic expansions of the kernel two-sample statistics, based on which we establish a central limit theorem under both the null hypothesis and the local and fixed alternatives. The new nonnull central limit theorem results allow us to perform asymptotic exact power analysis, which reveals a delicate interplay between the moment discrepancy that can be detected by the kernel two-sample tests and the dimension-and-sample orders. The asymptotic theory is further corroborated through numerical studies.