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arXiv · 2206.04552

A Fourier representation of kernel Stein discrepancy with application to Goodness-of-Fit tests for measures on infinite dimensional Hilbert spaces

George Wynne·Mikołaj Kasprzak·Andrew B. Duncan
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Abstract

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.

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George Wynne, Mikołaj Kasprzak, Andrew B. Duncan. 2023-08-20. A Fourier representation of kernel Stein discrepancy with application to Goodness-of-Fit tests for measures on infinite dimensional Hilbert spaces. https://doi.org/10.3150/23-bej1662

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