Discussion of ‘Multi-scale Fisher’s independence test for multivariate dependence’

Antonin Schrab, Wittawat Jitkrittum, Zoltan Szabo, Dino Sejdinovic and Arthur Gretton

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We discuss how MultiFIT, the Multiscale Fisher’s Independence Test for Multivariate Dependence proposed by Gorsky and Ma (2022), compares to existing linear-time kernel tests based on the Hilbert-Schmidt independence criterion (HSIC). We highlight the fact that the levels of the kernel tests at any finite sample size can be controlled exactly, as it is the case with the level of MultiFIT. In our experiments, we observe some of the performance limitations of MultiFIT in terms of test power.

JEL-codes: C1 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2022-09-01
New Economics Papers: this item is included in nep-ecm
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Published in Biometrika, 1, September, 2022, 109(3), pp. 597 – 603. ISSN: 0006-3444

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