Papers › Boosting the Power of Kernel Two-Sample Tests
Boosting the Power of Kernel Two-Sample Tests
Anirban Chatterjee, Bhaswar B. Bhattacharya
The kernel two-sample test based on the maximum mean discrepancy (MMD) is one of the most popular methods for detecting differences between two distributions over general metric spaces. In this paper we propose a method to boost the power of the kernel test by combining MMD estimates over multiple kernels using their Mahalanobis distance. We derive the asymptotic null distribution of the proposed test statistic and use a multiplier bootstrap approach to efficiently compute the rejection region. The resulting test is universally consistent and, since it is obtained by aggregating over a collection of kernels/bandwidths, is more powerful in detecting a wide range of alternatives in finite samples. We also derive the distribution of the test statistic for both fixed and local contiguous alternatives. The latter, in particular, implies that the proposed test is statistically efficient, that is, it has non-trivial asymptotic (Pitman) efficiency. The consistency properties of the Mahalanobis and other natural aggregation methods are also explored when the number of kernels is allowed to grow with the sample size. Extensive numerical experiments are performed on both synthetic and real-world datasets to illustrate the efficacy of the proposed method over single kernel tests. The computational complexity of the proposed method is also studied, both theoretically and in simulations. Our asymptotic results rely on deriving the joint distribution of MMD estimates using the framework of multiple stochastic integrals, which is more broadly useful, specifically, in understanding the efficiency properties of recently proposed adaptive MMD tests based on kernel aggregation and also in developing more computationally efficient (linear time) tests that combine multiple kernels. We conclude with an application of the Mahalanobis aggregation method for kernels with diverging scaling parameters.
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