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Activity Number: 303 - Statistical Association and High-Dimensional Data
Type: Contributed
Date/Time: Tuesday, July 30, 2019 : 8:30 AM to 10:20 AM
Sponsor: Section on Nonparametric Statistics
Abstract #304311 Presentation
Title: Dissimilarity Metrics Based Two Sample Tests in High Dimension
Author(s): Changbo Zhu* and Xiaofeng Shao
Companies: University of Illinois at Urbana-Champaign and University of Illinois At Urbana-Champaign
Keywords: Two sample ; Energy distance
Abstract:

In this paper, we study a class of two sample test statistics based on inter-point distances in the high dimensional and low sample size setting. Our test statistics include the well-known energy distance and maximum mean discrepancy with Gaussian and Laplacian kernels, and the critical values are obtained via permutations. We show that all these tests are inconsistent when the two high dimensional distributions correspond to the same marginal distributions but differ in other aspects of the distributions. The tests based on energy distance and maximum mean discrepancy are mainly targeting the differences between marginal means and variances, whereas the test based on L1-distance can capture the difference in marginal distributions. Our theory sheds new light on the limitation of inter-point distance based tests, the impact of different distance metrics, and the behavior of permutation tests in high dimension. Some simulation results are also presented to corroborate our theoretical findings.


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