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Pré-Publication, Document De Travail Année : 2023

Discussion of `Multiscale Fisher's Independence Test for Multivariate Dependence'

Résumé

We discuss how MultiFIT, the Multiscale Fisher's Independence Test for Multivariate Dependence proposed by Gorsky and Ma (2022), compares to existing linear-time kernel tests based on the Hilbert-Schmidt independence criterion (HSIC). We highlight the fact that the levels of the kernel tests at any finite sample size can be controlled exactly, as it is the case with the level of MultiFIT. In our experiments, we observe some of the performance limitations of MultiFIT in terms of test power.
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Dates et versions

hal-03709218 , version 1 (08-11-2023)

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Antonin Schrab, Wittawat Jitkrittum, Zoltán Szabó, Dino Sejdinovic, Arthur Gretton. Discussion of `Multiscale Fisher's Independence Test for Multivariate Dependence'. 2023. ⟨hal-03709218⟩
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