Comparing a large number of multivariate distributions

From MaRDI portal
Publication:2214253



Abstract: In this paper, we propose a test for the equality of multiple distributions based on kernel mean embeddings. Our framework provides a flexible way to handle multivariate or even high-dimensional data by virtue of kernel methods and allows the number of distributions to increase with the sample size. This is in contrast to previous studies that have been mostly restricted to classical low-dimensional settings with a fixed number of distributions. By building on Cramer-type moderate deviation for degenerate two-sample V-statistics, we derive the limiting null distribution of the test statistic and show that it converges to a Gumbel distribution. The limiting distribution, however, depends on an infinite number of nuisance parameters, which makes it infeasible for use in practice. To address this issue, the proposed test is implemented via the permutation procedure and is shown to be minimax rate optimal against sparse alternatives. During our analysis, an exponential concentration inequality for the permuted test statistic is developed which may be of independent interest.


The author introduces a new nonparametric \(K\)-sample test based on the maximum mean discrepancy. The limiting distribution of the proposed test statistic is derived based on the Cramér-type moderate deviation for degenerate two-sample \(V\)-statistics. However, the obtained limiting distribution relies on an infinite number of nuisance parameters, which are intractable in general. Therefore, a permutation approach to determine the cut-off value of the test is used. A concentration inequality for the proposed test statistic with a sharp exponential tail bound under permutations is presented. This result is used to study the power of the suggested permutation test when both \(K\) and \(N\) are large. The author claims that his vast simulations show that the proposed permutation test is powerful against sparse alternatives. The proofs are not presented and can be found in \url{doi:10.3150/20-BEJ1244SUPP}.



Cites work









This page was built for publication: Comparing a large number of multivariate distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2214253)