Kernel MMD Two-Sample Tests for Manifold Data
share
We present a study of kernel MMD two-sample test statistics in the manifold setting, assuming the high-dimensional observations are close to a low-dimensional manifold. We characterize the property of the test (level and power) in relation to the kernel bandwidth, the number of samples, and the intrinsic dimensionality of the manifold. Specifically, we show that when data densities are supported on a d-dimensional sub-manifold ℳ embedded in an m-dimensional space, the kernel MMD two-sample test for data sampled from a pair of distributions (p, q) that are Hölder with order β is consistent and powerful when the number of samples n is greater than δ_2(p,q)^-2-d/β up to certain constant, where δ_2 is the squared ℓ_2-divergence between two distributions on manifold. Moreover, to achieve testing consistency under this scaling of n, our theory suggests that the kernel bandwidth γ scales with n^-1/(d+2β). These results indicate that the kernel MMD two-sample test does not have a curse-of-dimensionality when the data lie on the low-dimensional manifold. We demonstrate the validity of our theory and the property of the MMD test for manifold data using several numerical experiments.
READ FULL TEXT
