A Permutation-Free Kernel Independence Test

• URL: http://arxiv.org/abs/2212.09108v1
• Date: Sun, 18 Dec 2022 15:28:16 GMT
• Title: A Permutation-Free Kernel Independence Test
• Authors: Shubhanshu Shekhar, Ilmun Kim, Aaditya Ramdas
• Abstract summary: In nonparametric independence testing, we observe i.i.d. data $(X_i,Y_i)_i=1n$, where $X in mathcalX, Y in mathcalY$ lie in any general spaces. Modern test statistics such as the kernel Hilbert-Schmidt Independence Criterion (HSIC) and Distance Covariance (dCov) have intractable null distributions due to the degeneracy of the underlying U-statistics. This paper provides a simple but nontrivial modification of HSIC
• Score: 36.50719125230106
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: In nonparametric independence testing, we observe i.i.d.\ data $\{(X_i,Y_i)\}_{i=1}^n$, where $X \in \mathcal{X}, Y \in \mathcal{Y}$ lie in any general spaces, and we wish to test the null that $X$ is independent of $Y$. Modern test statistics such as the kernel Hilbert-Schmidt Independence Criterion (HSIC) and Distance Covariance (dCov) have intractable null distributions due to the degeneracy of the underlying U-statistics. Thus, in practice, one often resorts to using permutation testing, which provides a nonasymptotic guarantee at the expense of recalculating the quadratic-time statistics (say) a few hundred times. This paper provides a simple but nontrivial modification of HSIC and dCov (called xHSIC and xdCov, pronounced ``cross'' HSIC/dCov) so that they have a limiting Gaussian distribution under the null, and thus do not require permutations. This requires building on the newly developed theory of cross U-statistics by Kim and Ramdas (2020), and in particular developing several nontrivial extensions of the theory in Shekhar et al. (2022), which developed an analogous permutation-free kernel two-sample test. We show that our new tests, like the originals, are consistent against fixed alternatives, and minimax rate optimal against smooth local alternatives. Numerical simulations demonstrate that compared to the full dCov or HSIC, our variants have the same power up to a $\sqrt 2$ factor, giving practitioners a new option for large problems or data-analysis pipelines where computation, not sample size, could be the bottleneck.

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