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Publication Detail
B-tests: Low Variance Kernel Two-Sample Tests
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Publication Type:Conference
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Authors:Zaremba W, Gretton A, Blaschko M
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Publication date:08/07/2013
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Keywords:cs.LG, cs.LG, stat.ML
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Author URL:
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Notes:Neural Information Processing Systems (2013)
Abstract
A family of maximum mean discrepancy (MMD) kernel two-sample tests is
introduced. Members of the test family are called Block-tests or B-tests, since
the test statistic is an average over MMDs computed on subsets of the samples.
The choice of block size allows control over the tradeoff between test power
and computation time. In this respect, the $B$-test family combines favorable
properties of previously proposed MMD two-sample tests: B-tests are more
powerful than a linear time test where blocks are just pairs of samples, yet
they are more computationally efficient than a quadratic time test where a
single large block incorporating all the samples is used to compute a
U-statistic. A further important advantage of the B-tests is their
asymptotically Normal null distribution: this is by contrast with the
U-statistic, which is degenerate under the null hypothesis, and for which
estimates of the null distribution are computationally demanding. Recent
results on kernel selection for hypothesis testing transfer seamlessly to the
B-tests, yielding a means to optimize test power via kernel choice.
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