Dimension-agnostic inference using cross U-statistics

DOI10.3150/23-BEJ1613arXiv2011.05068OpenAlexW4388506996MaRDI QIDQ6178581FDOQ6178581

Authors: Ilmun Kim, Aaditya Ramdas 

Publication date: 16 January 2024

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Classical asymptotic theory for statistical inference usually involves calibrating a statistic by fixing the dimension $d$ while letting the sample size $n$ increase to infinity. Recently, much effort has been dedicated towards understanding how these methods behave in high-dimensional settings, where $d$ and $n$ both increase to infinity together. This often leads to different inference procedures, depending on the assumptions about the dimensionality, leaving the practitioner in a bind: given a dataset with 100 samples in 20 dimensions, should they calibrate by assuming $nggd$, or $d/napprox0.2$? This paper considers the goal of dimension-agnostic inference; developing methods whose validity does not depend on any assumption on $d$ versus $n$. We introduce an approach that uses variational representations of existing test statistics along with sample splitting and self-normalization to produce a refined test statistic with a Gaussian limiting distribution, regardless of how $d$ scales with $n$. The resulting statistic can be viewed as a careful modification of degenerate U-statistics, dropping diagonal blocks and retaining off-diagonal blocks. We exemplify our technique for some classical problems including one-sample mean and covariance testing, and show that our tests have minimax rate-optimal power against appropriate local alternatives. In most settings, our cross U-statistic matches the high-dimensional power of the corresponding (degenerate) U-statistic up to a $sqrt2$ factor.

Full work available at URL: https://arxiv.org/abs/2011.05068

zbMATH Keywords

minimax optimalitysample splittingstudentizationdegenerate U-statisticshigh-dimensional limits

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Parametric inference (62Fxx) Multivariate analysis (62Hxx)

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