The Annals of Statistics · 2022 · 33 citations · 32 references
Natural SciencesMathematicsProbability TheorySeparation ProcessesStochastic ProcessesInferential StatisticsKernel MethodsStatistical InferenceAsymptotic TheoryReproducing Kernel Hilbert SpacesSeparation TheoremsSobolev SpacesUpper Bounds
The Hilbert–Schmidt Independence Criterion (HSIC) is a dependence measure based on reproducing kernel Hilbert spaces that is widely used to test independence between two random vectors. Remains the delicate choice of the kernel. In this work, we develop a new HSIC-based aggregated procedure which avoids such a kernel choice, and provide theoretical guarantees for this procedure. To achieve this, on the one hand, we introduce non-asymptotic single tests based on Gaussian kernels with a given bandwidth, which are of prescribed level. Then, we aggregate several single tests with different bandwidths, and prove sharp upper bounds for the uniform separation rate of the aggregated procedure over Sobolev balls. On the other hand, we provide a lower bound for the non-asymptotic minimax separation rate of testing over Sobolev balls, and deduce that the aggregated procedure is adaptive in the minimax sense over such regularity spaces. Finally, from a practical point of view, we perform numerical studies in order to assess the efficiency of our aggregated procedure and compare it to existing tests in the literature.
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A Non-Parametric Test of Independence
Wassily Hoeffding · The Annals of Mathematical Statistics · 1948 · 643 citations · Full text
A Kernel Statistical Test of Independence
Arthur Gretton, Kenji Fukumizu, Choon Hui Teo et al. · ANU Open Research (Australian National University) · 2007 · 621 citations · Full text