Family learning: nonparametric statistical inference with parametric efficiency

11/27/2017

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by   William Fithian, et al.

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Hypothesis testing and other statistical inference procedures are most efficient when a reliable low-dimensional parametric family can be specified. We propose a method that learns such a family when one exists but its form is not known a priori, by examining samples from related populations and fitting a low-dimensional exponential family that approximates all the samples as well as possible. We propose a computationally efficient spectral method that allows us to carry out hypothesis tests that are valid whether or not the fit is good, and recover asymptotically optimal power if it is. Our method is computationally efficient and can produce substantial power gains in simulation and real-world A/B testing data.