A kernel Stein test of goodness of fit for sequential models

• URL: http://arxiv.org/abs/2210.10741v3
• Date: Thu, 13 Jul 2023 16:09:53 GMT
• Title: A kernel Stein test of goodness of fit for sequential models
• Authors: Jerome Baum and Heishiro Kanagawa and Arthur Gretton
• Abstract summary: The proposed measure is an instance of the kernel Stein discrepancy (KSD), which has been used to construct goodness-of-fit tests for unnormalized densities. We extend the KSD to the variable-dimension setting by identifying appropriate Stein operators, and propose a novel KSD goodness-of-fit test. Our test is shown to perform well in practice on discrete sequential data benchmarks.
• Score: 19.8408003104988
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We propose a goodness-of-fit measure for probability densities modeling observations with varying dimensionality, such as text documents of differing lengths or variable-length sequences. The proposed measure is an instance of the kernel Stein discrepancy (KSD), which has been used to construct goodness-of-fit tests for unnormalized densities. The KSD is defined by its Stein operator: current operators used in testing apply to fixed-dimensional spaces. As our main contribution, we extend the KSD to the variable-dimension setting by identifying appropriate Stein operators, and propose a novel KSD goodness-of-fit test. As with the previous variants, the proposed KSD does not require the density to be normalized, allowing the evaluation of a large class of models. Our test is shown to perform well in practice on discrete sequential data benchmarks.

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