Sequential Kernelized Independence Testing

• URL: http://arxiv.org/abs/2212.07383v3
• Date: Wed, 19 Jul 2023 17:56:01 GMT
• Title: Sequential Kernelized Independence Testing
• Authors: Aleksandr Podkopaev, Patrick Bl\"obaum, Shiva Prasad Kasiviswanathan, Aaditya Ramdas
• Abstract summary: We design sequential kernelized independence tests inspired by kernelized dependence measures. We demonstrate the power of our approaches on both simulated and real data.
• Score: 101.22966794822084
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Independence testing is a classical statistical problem that has been extensively studied in the batch setting when one fixes the sample size before collecting data. However, practitioners often prefer procedures that adapt to the complexity of a problem at hand instead of setting sample size in advance. Ideally, such procedures should (a) stop earlier on easy tasks (and later on harder tasks), hence making better use of available resources, and (b) continuously monitor the data and efficiently incorporate statistical evidence after collecting new data, while controlling the false alarm rate. Classical batch tests are not tailored for streaming data: valid inference after data peeking requires correcting for multiple testing which results in low power. Following the principle of testing by betting, we design sequential kernelized independence tests that overcome such shortcomings. We exemplify our broad framework using bets inspired by kernelized dependence measures, e.g., the Hilbert-Schmidt independence criterion. Our test is also valid under non-i.i.d., time-varying settings. We demonstrate the power of our approaches on both simulated and real data.

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