How many moments does MMD compare?

• URL: http://arxiv.org/abs/2106.14277v1
• Date: Sun, 27 Jun 2021 16:44:17 GMT
• Title: How many moments does MMD compare?
• Authors: Rustem Takhanov
• Abstract summary: mathcalF-1$ acts on smooth functions in the same way as an integral operator associated with $K$. We show that kernels defined by pseudo-differential operators are able to approximate uniformly any continuous Mercer kernel on a compact set.
• Score: 7.919213739992465
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We present a new way of study of Mercer kernels, by corresponding to a special kernel $K$ a pseudo-differential operator $p({\mathbf x}, D)$ such that $\mathcal{F} p({\mathbf x}, D)^\dag p({\mathbf x}, D) \mathcal{F}^{-1}$ acts on smooth functions in the same way as an integral operator associated with $K$ (where $\mathcal{F}$ is the Fourier transform). We show that kernels defined by pseudo-differential operators are able to approximate uniformly any continuous Mercer kernel on a compact set. The symbol $p({\mathbf x}, {\mathbf y})$ encapsulates a lot of useful information about the structure of the Maximum Mean Discrepancy distance defined by the kernel $K$. We approximate $p({\mathbf x}, {\mathbf y})$ with the sum of the first $r$ terms of the Singular Value Decomposition of $p$, denoted by $p_r({\mathbf x}, {\mathbf y})$. If ordered singular values of the integral operator associated with $p({\mathbf x}, {\mathbf y})$ die down rapidly, the MMD distance defined by the new symbol $p_r$ differs from the initial one only slightly. Moreover, the new MMD distance can be interpreted as an aggregated result of comparing $r$ local moments of two probability distributions. The latter results holds under the condition that right singular vectors of the integral operator associated with $p$ are uniformly bounded. But even if this is not satisfied we can still hold that the Hilbert-Schmidt distance between $p$ and $p_r$ vanishes. Thus, we report an interesting phenomenon: the MMD distance measures the difference of two probability distributions with respect to a certain number of local moments, $r^\ast$, and this number $r^\ast$ depends on the speed with which singular values of $p$ die down.

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