A Fourier representation of kernel Stein discrepancy with application to Goodness-of-Fit tests for measures on infinite dimensional Hilbert spaces
Not on the map. Why?
Abstract (arXiv)
Kernel Stein discrepancy (KSD) is a widely used kernel-based measure of discrepancy between probability measures. It is often employed in the scenario where a user has a collection of samples from a candidate probability measure and wishes to compare them against a specified target probability measure. KSD has been employed in a range of settings including goodness-of-fit testing, parametric inference, MCMC output assessment and generative modelling. However, so far the method has been restricted to finite-dimensional data. We provide the first analysis of KSD in the generality of data lying in a separable Hilbert space, for example functional data. The main result is a novel Fourier representation of KSD obtained by combining the theory of measure equations with kernel methods. This allows us to prove that KSD can separate measures and thus is valid to use in practice. Additionally, our results improve the interpretability of KSD by decoupling the effect of the kernel and Stein operator. We demonstrate the efficacy of the proposed methodology by performing goodness-of-fit tests for various Gaussian and non-Gaussian functional models in a number of synthetic data experiments.
Key facts. Cited by 3 papers in the map (data through 7 Oct 2026). Builds on 16 of its 82 references that are in the map. First posted on arXiv 9 Jun 2022.
Builds on
16 of 82 references.
References · 16
- 2016Stein Variational Gradient Descent: A General Purpose Bayesian Inference Algorithmcited by 498
- 2016A Kernelized Stein Discrepancy for Goodness-of-fit Tests and Model Evaluationcited by 236
- 2016A Kernel Test of Goodness of Fitcited by 143
- 2017Measuring Sample Quality with Kernelscited by 119
- 2015Measuring Sample Quality with Stein's Methodcited by 94
- 2015Operator-valued Kernels for Learning from Functional Response Datacited by 59
- 2018Signature moments to characterize laws of stochastic processescited by 54
- 2021Robust Generalised Bayesian Inference for Intractable Likelihoodscited by 53
- 2017A Linear-Time Kernel Goodness-of-Fit Testcited by 41
- 2021Stein's Method Meets Computational Statistics: A Review of Some Recent Developmentscited by 32
- 2020A Kernel Two-Sample Test for Functional Datacited by 27
- 2021Higher Order Kernel Mean Embeddings to Capture Filtrations of Stochastic Processescited by 27
4 more
- 2020Measure Transport with Kernel Stein Discrepancycited by 8
- 2020A piecewise deterministic Monte Carlo method for diffusion bridgescited by 5
- 2021Post-Processing of MCMCcited by 5
- 2021Standardisation-function Kernel Stein Discrepancy: A Unifying View on Kernel Stein Discrepancy Tests for Goodness-of-fitcited by 4
Built on by
Citing papers per year: 2022: 2; 2023: 0; 2024: 1.
3 papers.
- 2022A kernel Stein test of goodness of fit for sequential modelscited by 9
- 2022Sobolev Spaces, Kernels and Discrepancies over Hyperspherescited by 5
- 2024Sequential Kernelized Stein Discrepancycited by 1
- 2024Sequential Kernelized Stein Discrepancy26 Sep 2024
- 2022Sobolev Spaces, Kernels and Discrepancies over Hyperspheres16 Nov 2022
- 2022A kernel Stein test of goodness of fit for sequential models19 Oct 2022