Sharp Theoretical Analysis for Nonparametric Testing under Random Projection

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Meimei Liu, Zuofeng Shang, Guang Cheng ;
Proceedings of the Thirty-Second Conference on Learning Theory, PMLR 99:2175-2209, 2019.

Abstract

A common challenge in nonparametric inference is its high computational complexity when data volume is large. In this paper, we develop computationally efficient nonparametric testing by employing a random projection strategy. In the specific kernel ridge regression setup, a simple distance-based test statistic is proposed. Notably, we derive the minimum number of random projections that is sufficient for achieving testing optimality in terms of the minimax rate. As a by-product, the lower bound of projection dimension for minimax optimal estimation derived in Yang (2017) is proven to be sharp. One technical contribution is to establish upper bounds for a range of tail sums of empirical kernel eigenvalues.

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