Sharp Theoretical Analysis for Nonparametric Testing under Random Projection
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Proceedings of the ThirtySecond Conference on Learning Theory, PMLR 99:21752209, 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 distancebased 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 byproduct, 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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