An Adaptive Test of Independence with Analytic Kernel Embeddings

Transcription

1 An Adaptive Test of Independence with Analytic Kernel Embeddings Wittawat Jitkrittum Gatsby Unit, University College London Probabilistic Graphical Model Workshop 2017 Institute of Statistical Mathematics, Tokyo 24 Feb /29

2 Reference Coauthors: Arthur Gretton Gatsby Unit, UCL Zoltán Szabó École Polytechnique Preprint: An Adaptive Test of Independence with Analytic Kernel Embeddings Wittawat Jitkrittum, Zoltán Szabó, Arthur Gretton Python code: 2/29

3 What Is Independence Testing? Let X 2R dx ; Y 2R dy be random vectors following P xy. Given a joint sample f(x i ; y i )g n i=1 P xy (unknown), test H 0 :P xy = P x P y ; vs. H 1 :P xy 6= P x P y : P xy = P x P y equivalent to X? Y. Compute a test statistic ^ n. Reject H 0 if ^ n T (threshold). T = (1 )-quantile of the null distribution. 3/29

4 What Is Independence Testing? Let X 2R dx ; Y 2R dy be random vectors following P xy. Given a joint sample f(x i ; y i )g n i=1 P xy (unknown), test H 0 :P xy = P x P y ; vs. H 1 :P xy 6= P x P y : P xy = P x P y equivalent to X? Y. Compute a test statistic ^ n. Reject H 0 if ^ n T (threshold). T = (1 )-quantile of the null distribution. 3/29

5 What Is Independence Testing? Let X 2R dx ; Y 2R dy be random vectors following P xy. Given a joint sample f(x i ; y i )g n i=1 P xy (unknown), test H 0 :P xy = P x P y ; vs. H 1 :P xy 6= P x P y : P xy = P x P y equivalent to X? Y. Compute a test statistic ^ n. Reject H 0 if ^ n T (threshold). T = (1 )-quantile of the null distribution. H 0 (ˆλ n ) P H1 (ˆλ n ) T α ˆλ n ˆλ n 3/29

6 What Is Independence Testing? Let X 2R dx ; Y 2R dy be random vectors following P xy. Given a joint sample f(x i ; y i )g n i=1 P xy (unknown), test H 0 :P xy = P x P y ; vs. H 1 :P xy 6= P x P y : P xy = P x P y equivalent to X? Y. Compute a test statistic ^ n. Reject H 0 if ^ n T (threshold). T = (1 )-quantile of the null distribution. H 0 (ˆλ n ) P H1 (ˆλ n ) ˆλ n T α ˆλ n y x 3/29

7 Goals Want a test which is : : : 1 Non-parametric i.e., no parametric assumption on P xy. 2 Linear-time i.e., computational complexity is O(n). Fast. 3 Adaptive i.e., has a well-defined criterion for parameter tuning. Non-parametric O(n) Adaptive Pearson correlation HSIC [Gretton et al., 2005] HSIC with RFFs [Zhang et al., 2016] FSIC (proposed) : RFFs = Random Fourier Features Focus on cases where n (sample size) is large. 4/29

8 Goals Want a test which is : : : 1 Non-parametric i.e., no parametric assumption on P xy. 2 Linear-time i.e., computational complexity is O(n). Fast. 3 Adaptive i.e., has a well-defined criterion for parameter tuning. Non-parametric O(n) Adaptive Pearson correlation HSIC [Gretton et al., 2005] HSIC with RFFs [Zhang et al., 2016] FSIC (proposed) : RFFs = Random Fourier Features Focus on cases where n (sample size) is large. 4/29

9 Goals Want a test which is : : : 1 Non-parametric i.e., no parametric assumption on P xy. 2 Linear-time i.e., computational complexity is O(n). Fast. 3 Adaptive i.e., has a well-defined criterion for parameter tuning. Non-parametric O(n) Adaptive Pearson correlation HSIC [Gretton et al., 2005] HSIC with RFFs [Zhang et al., 2016] FSIC (proposed) : RFFs = Random Fourier Features Focus on cases where n (sample size) is large. 4/29

10 Goals Want a test which is : : : 1 Non-parametric i.e., no parametric assumption on P xy. 2 Linear-time i.e., computational complexity is O(n). Fast. 3 Adaptive i.e., has a well-defined criterion for parameter tuning. Non-parametric O(n) Adaptive Pearson correlation HSIC [Gretton et al., 2005] HSIC with RFFs [Zhang et al., 2016] FSIC (proposed) : RFFs = Random Fourier Features Focus on cases where n (sample size) is large. 4/29

11 Goals Want a test which is : : : 1 Non-parametric i.e., no parametric assumption on P xy. 2 Linear-time i.e., computational complexity is O(n). Fast. 3 Adaptive i.e., has a well-defined criterion for parameter tuning. Non-parametric O(n) Adaptive Pearson correlation HSIC [Gretton et al., 2005] HSIC with RFFs [Zhang et al., 2016] FSIC (proposed) : RFFs = Random Fourier Features Focus on cases where n (sample size) is large. 4/29

12 Witness Function [Gretton et al., 2012] kx vk 2 A function showing the differences of two distributions P and Q. Gaussian kernel: k (x; v) = exp Empirical mean embedding of P: ^ P (v) = 1 n P ni=1 k (x i ; v) Maximum Mean Discrepancy (MMD): k^uk RKHS. MMD(P ; Q) = 0 if and only if P = Q /29

13 Witness Function [Gretton et al., 2012] kx vk 2 A function showing the differences of two distributions P and Q. Gaussian kernel: k (x; v) = exp Empirical mean embedding of P: ^ P (v) = 1 n P ni=1 k (x i ; v) Maximum Mean Discrepancy (MMD): k^uk RKHS. MMD(P ; Q) = 0 if and only if P = Q. 2 2 Observe X = fx 1 ; : : : ; x n g P Observe Y = fy 1 ; : : : ; y n g Q 5/29

14 Witness Function [Gretton et al., 2012] kx vk 2 A function showing the differences of two distributions P and Q. Gaussian kernel: k (x; v) = exp Empirical mean embedding of P: ^ P (v) = 1 n P ni=1 k (x i ; v) Maximum Mean Discrepancy (MMD): k^uk RKHS. MMD(P ; Q) = 0 if and only if P = Q. 2 2 Gaussian kernel on x i Gaussian kernel on y i 5/29

15 Witness Function [Gretton et al., 2012] kx vk 2 A function showing the differences of two distributions P and Q. Gaussian kernel: k (x; v) = exp Empirical mean embedding of P: ^ P (v) = 1 n P ni=1 k (x i ; v) Maximum Mean Discrepancy (MMD): k^uk RKHS. MMD(P ; Q) = 0 if and only if P = Q. 2 2 ^P (v): mean embedding of P ^Q (v): mean embedding of Q v 5/29

16 Witness Function [Gretton et al., 2012] kx vk 2 A function showing the differences of two distributions P and Q. Gaussian kernel: k (x; v) = exp Empirical mean embedding of P: ^ P (v) = 1 n P ni=1 k (x i ; v) Maximum Mean Discrepancy (MMD): k^uk RKHS. MMD(P ; Q) = 0 if and only if P = Q. 2 2 ^P (v): mean embedding of P ^Q (v): mean embedding of Q ^u(v) = witness(v) = ^P (v) ^Q (v) {z } v 5/29

17 Witness Function [Gretton et al., 2012] kx vk 2 A function showing the differences of two distributions P and Q. Gaussian kernel: k (x; v) = exp Empirical mean embedding of P: ^ P (v) = 1 n P ni=1 k (x i ; v) Maximum Mean Discrepancy (MMD): k^uk RKHS. MMD(P ; Q) = 0 if and only if P = Q. 2 2 \MMD(P ; Q) = k^uk RKHS ^u(v) = witness(v) = ^P (v) ^Q (v) {z } v 5/29

18 Independence Test with HSIC [Gretton et al., 2005] Hilbert-Schmidt Independence Criterion. HSIC(X ; Y ) = MMD(P xy ; P x P y ) = kuk RKHS (need two kernels: k for X, and l for Y ). Empirical witness: ^u(v; w) = ^ xy (v; w) where ^ xy (v; w) = 1 n P ni=1 k (x i ; v)l(y i ; w). ^ x (v)^ y (w) HSIC(X ; Y ) = 0 if and only if X and Y are independent. Test statistic = k^uk RKHS ( flatness of ^u). Complexity: O(n 2 ). Key: Can we measure the flatness by other way that costs only O(n)? 6/29

19 Independence Test with HSIC [Gretton et al., 2005] Hilbert-Schmidt Independence Criterion. HSIC(X ; Y ) = MMD(P xy ; P x P y ) = kuk RKHS (need two kernels: k for X, and l for Y ). Empirical witness: ^u(v; w) = ^ xy (v; w) where ^ xy (v; w) = 1 n P ni=1 k (x i ; v)l(y i ; w). ^ x (v)^ y (w) HSIC(X ; Y ) = 0 if and only if X and Y are independent. Test statistic = k^uk RKHS ( flatness of ^u). Complexity: O(n 2 ). Key: Can we measure the flatness by other way that costs only O(n)? 6/29

20 Independence Test with HSIC [Gretton et al., 2005] Hilbert-Schmidt Independence Criterion. HSIC(X ; Y ) = MMD(P xy ; P x P y ) = kuk RKHS (need two kernels: k for X, and l for Y ). Empirical witness: ^u(v; w) = ^ xy (v; w) ^ x (v)^ y (w) where ^ xy (v; w) = 1 n P ni=1 k (x i ; v)l(y i ; w). ^ xy (v; w) ^ x (v)^ y (w) HSIC(X ; Y ) = 0 if and only if X and Y are independent. Test statistic = k^uk RKHS ( flatness of ^u). Complexity: O(n 2 ). Key: Can we measure the flatness by other way that costs only O(n)? 6/29

21 Independence Test with HSIC [Gretton et al., 2005] Hilbert-Schmidt Independence Criterion. HSIC(X ; Y ) = MMD(P xy ; P x P y ) = kuk RKHS (need two kernels: k for X, and l for Y ). Empirical witness: ^u(v; w) = ^ xy (v; w) where ^ xy (v; w) = 1 n P ni=1 k (x i ; v)l(y i ; w). ^ x (v)^ y (w) ^ xy (v; w) ^ x (v)^ y (w) = Witness ^u(v; w) HSIC(X ; Y ) = 0 if and only if X and Y are independent. Test statistic = k^uk RKHS ( flatness of ^u). Complexity: O(n 2 ). Key: Can we measure the flatness by other way that costs only O(n)? 6/29

22 Independence Test with HSIC [Gretton et al., 2005] Hilbert-Schmidt Independence Criterion. HSIC(X ; Y ) = MMD(P xy ; P x P y ) = kuk RKHS (need two kernels: k for X, and l for Y ). Empirical witness: ^u(v; w) = ^ xy (v; w) where ^ xy (v; w) = 1 n P ni=1 k (x i ; v)l(y i ; w). ^ x (v)^ y (w) ^ xy (v; w) ^ x (v)^ y (w) = Witness ^u(v; w) HSIC(X ; Y ) = 0 if and only if X and Y are independent. Test statistic = k^uk RKHS ( flatness of ^u). Complexity: O(n 2 ). Key: Can we measure the flatness by other way that costs only O(n)? 6/29

23 Independence Test with HSIC [Gretton et al., 2005] Hilbert-Schmidt Independence Criterion. HSIC(X ; Y ) = MMD(P xy ; P x P y ) = kuk RKHS (need two kernels: k for X, and l for Y ). Empirical witness: ^u(v; w) = ^ xy (v; w) where ^ xy (v; w) = 1 n P ni=1 k (x i ; v)l(y i ; w). ^ x (v)^ y (w) ^ xy (v; w) ^ x (v)^ y (w) = Witness ^u(v; w) HSIC(X ; Y ) = 0 if and only if X and Y are independent. Test statistic = k^uk RKHS ( flatness of ^u). Complexity: O(n 2 ). Key: Can we measure the flatness by other way that costs only O(n)? 6/29

24 Independence Test with HSIC [Gretton et al., 2005] Hilbert-Schmidt Independence Criterion. HSIC(X ; Y ) = MMD(P xy ; P x P y ) = kuk RKHS (need two kernels: k for X, and l for Y ). Empirical witness: ^u(v; w) = ^ xy (v; w) where ^ xy (v; w) = 1 n P ni=1 k (x i ; v)l(y i ; w). ^ x (v)^ y (w) ^ xy (v; w) ^ x (v)^ y (w) = Witness ^u(v; w) HSIC(X ; Y ) = 0 if and only if X and Y are independent. Test statistic = k^uk RKHS ( flatness of ^u). Complexity: O(n 2 ). Key: Can we measure the flatness by other way that costs only O(n)? 6/29

25 Proposal: The Finite Set Independence Criterion (FSIC) Idea: Evaluate ^u 2 (v; w) at only finitely many test locations. A set of random J locations: f(v 1 ; w 1 ); : : : ; (v J ; w J )g \FSIC 2 (X ; Y ) = 1 J P Ji=1 ^u 2 (v i ; w i ) Complexity: O((d x + d y )Jn). Linear time. But, what about an unlucky set of locations?? Can FSIC 2 (X ; Y ) = 0 even if X and Y are dependent?? 7/29

26 Proposal: The Finite Set Independence Criterion (FSIC) Idea: Evaluate ^u 2 (v; w) at only finitely many test locations. A set of random J locations: f(v 1 ; w 1 ); : : : ; (v J ; w J )g \FSIC 2 (X ; Y ) = 1 J P Ji=1 ^u 2 (v i ; w i ) Complexity: O((d x + d y )Jn). Linear time. But, what about an unlucky set of locations?? Can FSIC 2 (X ; Y ) = 0 even if X and Y are dependent?? 7/29

27 Proposal: The Finite Set Independence Criterion (FSIC) Idea: Evaluate ^u 2 (v; w) at only finitely many test locations. A set of random J locations: f(v 1 ; w 1 ); : : : ; (v J ; w J )g \FSIC 2 (X ; Y ) = 1 J P Ji=1 ^u 2 (v i ; w i ) Complexity: O((d x + d y )Jn). Linear time. But, what about an unlucky set of locations?? Can FSIC 2 (X ; Y ) = 0 even if X and Y are dependent?? 7/29

28 Proposal: The Finite Set Independence Criterion (FSIC) Idea: Evaluate ^u 2 (v; w) at only finitely many test locations. A set of random J locations: f(v 1 ; w 1 ); : : : ; (v J ; w J )g \FSIC 2 (X ; Y ) = 1 J P Ji=1 ^u 2 (v i ; w i ) Complexity: O((d x + d y )Jn). Linear time. But, what about an unlucky set of locations?? Can FSIC 2 (X ; Y ) = 0 even if X and Y are dependent?? 7/29

29 Proposal: The Finite Set Independence Criterion (FSIC) Idea: Evaluate ^u 2 (v; w) at only finitely many test locations. A set of random J locations: f(v 1 ; w 1 ); : : : ; (v J ; w J )g \FSIC 2 (X ; Y ) = 1 J P Ji=1 ^u 2 (v i ; w i ) Complexity: O((d x + d y )Jn). Linear time. But, what about an unlucky set of locations?? Can FSIC 2 (X ; Y ) = 0 even if X and Y are dependent?? 7/29

30 Proposal: The Finite Set Independence Criterion (FSIC) Idea: Evaluate ^u 2 (v; w) at only finitely many test locations. A set of random J locations: f(v 1 ; w 1 ); : : : ; (v J ; w J )g \FSIC 2 (X ; Y ) = 1 J P Ji=1 ^u 2 (v i ; w i ) Complexity: O((d x + d y )Jn). Linear time. But, what about an unlucky set of locations?? Can FSIC 2 (X ; Y ) = 0 even if X and Y are dependent?? No. Population FSIC(X ; Y ) = 0 iff X? Y, almost surely. 7/29

31 Requirements on the Kernels Definition 1 (Analytic kernels). k : X X!R is said to be analytic if for all x 2 X, v! k (x; v) is a real analytic function on X. Analytic: Taylor series about x 0 converges for all x 0 2 X. =) k is infinitely differentiable. Definition 2 (Characteristic kernels). Let P ; Q be two distributions, and g be a kernel. Let P (v) :=E zp [g(z; v)] and Q (v) :=E zq [g(z; v)]. g is said to be characteristic if P 6= Q implies P 6= Q. 8/29

32 Requirements on the Kernels Definition 1 (Analytic kernels). k : X X!R is said to be analytic if for all x 2 X, v! k (x; v) is a real analytic function on X. Analytic: Taylor series about x 0 converges for all x 0 2 X. =) k is infinitely differentiable. Definition 2 (Characteristic kernels). Let P ; Q be two distributions, and g be a kernel. Let P (v) :=E zp [g(z; v)] and Q (v) :=E zq [g(z; v)]. g is said to be characteristic if P 6= Q implies P 6= Q. Space of distributions P Q RKHS µ P } MMD(P, Q) µ Q 8/29

33 FSIC Is a Dependence Measure Proposition 1. Assume 1 The product kernel g((x; y); (x 0 ; y 0 )) := k (x; x 0 )l(y; y 0 ) is characteristic and analytic (i.e., k ; l are Gaussian kernels). 2 Test locations f(v i ; w i )g J i=1 where has a density. Then, -almost surely, FSIC(X ; Y ) = 0 iff X and Y are independent. 9/29

34 FSIC Is a Dependence Measure Proposition 1. Assume 1 The product kernel g((x; y); (x 0 ; y 0 )) := k (x; x 0 )l(y; y 0 ) is characteristic and analytic (i.e., k ; l are Gaussian kernels). 2 Test locations f(v i ; w i )g J i=1 where has a density. Then, -almost surely, FSIC(X ; Y ) = 0 iff X and Y are independent. Let s plot as 9/29

35 FSIC Is a Dependence Measure Proposition 1. Assume 1 The product kernel g((x; y); (x 0 ; y 0 )) := k (x; x 0 )l(y; y 0 ) is characteristic and analytic (i.e., k ; l are Gaussian kernels). 2 Test locations f(v i ; w i )g J i=1 where has a density. Then, -almost surely, FSIC(X ; Y ) = 0 iff X and Y are independent. ˆµ Pxy (v, w) ˆµ Px ˆµ Py (v, w) û 2 (v, w) (v, w) 9/29

36 FSIC Is a Dependence Measure Proposition 1. Assume 1 The product kernel g((x; y); (x 0 ; y 0 )) := k (x; x 0 )l(y; y 0 ) is characteristic and analytic (i.e., k ; l are Gaussian kernels). 2 Test locations f(v i ; w i )g J i=1 where has a density. Then, -almost surely, FSIC(X ; Y ) = 0 iff X and Y are independent. Under H 0, ˆµ Pxy (v, w) ˆµ Px ˆµ Py (v, w) û 2 (v, w) 9/29

37 FSIC Is a Dependence Measure Proposition 1. Assume 1 The product kernel g((x; y); (x 0 ; y 0 )) := k (x; x 0 )l(y; y 0 ) is characteristic and analytic (i.e., k ; l are Gaussian kernels). 2 Test locations f(v i ; w i )g J i=1 where has a density. Then, -almost surely, FSIC(X ; Y ) = 0 iff X and Y are independent. ˆµ Pxy (v, w) ˆµ Px ˆµ Py (v, w) û 2 (v, w) (v, w) Under H 1, u is not a zero function (P 7!E zp [g(z; )] is injective). u is analytic. So, R u = f(v; w) j u(v; w) = 0g has 0 Lebesgue measure. So, f(v i ; w i )g J i=1 will not be in R u (with probability 1). 9/29

38 Alternative View of the Witness u(v; w) The witness u(v; w) can be rewritten as u(v; w) := xy (v; w) x (v) y (w) =E xy [k (x; v)l(y; w)] E x [k (x; v)]e y [l(y; w)]; = cov xy [k (x; v); l(y; w)]: 1 Transforming x 7! k (x; v) and y 7! l(y; w) (from R dy to R). 2 Then, take the covariance. The kernel transformations turn the linear covariance into a dependence measure. 10/29

39 Alternative View of the Witness u(v; w) The witness u(v; w) can be rewritten as u(v; w) := xy (v; w) x (v) y (w) =E xy [k (x; v)l(y; w)] E x [k (x; v)]e y [l(y; w)]; = cov xy [k (x; v); l(y; w)]: 1 Transforming x 7! k (x; v) and y 7! l(y; w) (from R dy to R). 2 Then, take the covariance. The kernel transformations turn the linear covariance into a dependence measure. 10/29

40 Alternative Form of ^u(v; w) Recall FSIC \ 2 1 P Ji=1 = J ^u(v i ; w i ) 2 Let [x y (v; w) be an unbiased estimator of x (v)y (w). [ x y (v; w) := 1 n(n 1) P ni=1 P j 6=i k (x i ; v)l(y j ; w). An unbiased estimator of u(v; w) is ^u(v; w) = ^xy (v; w) [x y (v; w) = 2 n(n 1) X i<j h (v;w)((x i ; y i ); (x j ; y j )); where h (v;w)((x; y); (x 0 ; y 0 1 )) := 2 (k (x; v) k (x0 ; v))(l(y; w) l(y 0 ; w)): For a fixed (v; w), ^u(v; w) is a one-sample 2 nd -order U-statistic. 11/29

41 Alternative Form of ^u(v; w) Recall FSIC \ 2 1 P Ji=1 = J ^u(v i ; w i ) 2 Let [x y (v; w) be an unbiased estimator of x (v)y (w). [ x y (v; w) := 1 n(n 1) P ni=1 P j 6=i k (x i ; v)l(y j ; w). An unbiased estimator of u(v; w) is ^u(v; w) = ^xy (v; w) [x y (v; w) = 2 n(n 1) X i<j h (v;w)((x i ; y i ); (x j ; y j )); where h (v;w)((x; y); (x 0 ; y 0 1 )) := 2 (k (x; v) k (x0 ; v))(l(y; w) l(y 0 ; w)): For a fixed (v; w), ^u(v; w) is a one-sample 2 nd -order U-statistic. 11/29

42 Alternative Form of ^u(v; w) Recall FSIC \ 2 1 P Ji=1 = J ^u(v i ; w i ) 2 Let [x y (v; w) be an unbiased estimator of x (v)y (w). [ x y (v; w) := 1 n(n 1) P ni=1 P j 6=i k (x i ; v)l(y j ; w). An unbiased estimator of u(v; w) is ^u(v; w) = ^xy (v; w) [x y (v; w) = 2 n(n 1) X i<j h (v;w)((x i ; y i ); (x j ; y j )); where h (v;w)((x; y); (x 0 ; y 0 1 )) := 2 (k (x; v) k (x0 ; v))(l(y; w) l(y 0 ; w)): For a fixed (v; w), ^u(v; w) is a one-sample 2 nd -order U-statistic. 11/29

43 Asymptotic Distribution of ^u \FSIC 2 (X ; Y ) = 1 J JX i=1 ^u 2 (v i ; w i ) = 1 J ^u> ^u; where ^u = (^u(v 1 ; w 1 ); : : : ; ^u(v J ; w J )) > : Proposition 2 (Asymptotic distribution of ^u). For any fixed locations f(v i ; w i )g J i=1, we have p n(^u u) d! N (0; ): ij =E xy [ ~ k (x; v i ) ~ l(y; w i ) ~ k (x; v j ) ~ l(y; w j )] u(v i ; w i )u(v j ; w j ), ~k (x; v) := k (x; v) E x 0k (x 0 ; v), ~l(y; w) := l(y; w) E y 0l(y 0 ; w). Under H 0, n\ FSIC 2 = n J ^u> ^u weighted sum of dependent 2 variables. Difficult to get (1 )-quantile for the threshold. 12/29

44 Asymptotic Distribution of ^u \FSIC 2 (X ; Y ) = 1 J JX i=1 ^u 2 (v i ; w i ) = 1 J ^u> ^u; where ^u = (^u(v 1 ; w 1 ); : : : ; ^u(v J ; w J )) > : Proposition 2 (Asymptotic distribution of ^u). For any fixed locations f(v i ; w i )g J i=1, we have p n(^u u) d! N (0; ): ij =E xy [ ~ k (x; v i ) ~ l(y; w i ) ~ k (x; v j ) ~ l(y; w j )] u(v i ; w i )u(v j ; w j ), ~k (x; v) := k (x; v) E x 0k (x 0 ; v), ~l(y; w) := l(y; w) E y 0l(y 0 ; w). Under H 0, n\ FSIC 2 = n J ^u> ^u weighted sum of dependent 2 variables. Difficult to get (1 )-quantile for the threshold. 12/29

45 Asymptotic Distribution of ^u \FSIC 2 (X ; Y ) = 1 J JX i=1 ^u 2 (v i ; w i ) = 1 J ^u> ^u; where ^u = (^u(v 1 ; w 1 ); : : : ; ^u(v J ; w J )) > : Proposition 2 (Asymptotic distribution of ^u). For any fixed locations f(v i ; w i )g J i=1, we have p n(^u u) d! N (0; ): ij =E xy [ ~ k (x; v i ) ~ l(y; w i ) ~ k (x; v j ) ~ l(y; w j )] u(v i ; w i )u(v j ; w j ), ~k (x; v) := k (x; v) E x 0k (x 0 ; v), ~l(y; w) := l(y; w) E y 0l(y 0 ; w). Under H 0, n\ FSIC 2 = n J ^u> ^u weighted sum of dependent 2 variables. Difficult to get (1 )-quantile for the threshold. 12/29

46 Asymptotic Distribution of ^u \FSIC 2 (X ; Y ) = 1 J JX i=1 ^u 2 (v i ; w i ) = 1 J ^u> ^u; where ^u = (^u(v 1 ; w 1 ); : : : ; ^u(v J ; w J )) > : Proposition 2 (Asymptotic distribution of ^u). For any fixed locations f(v i ; w i )g J i=1, we have p n(^u u) d! N (0; ): ij =E xy [ ~ k (x; v i ) ~ l(y; w i ) ~ k (x; v j ) ~ l(y; w j )] u(v i ; w i )u(v j ; w j ), ~k (x; v) := k (x; v) E x 0k (x 0 ; v), ~l(y; w) := l(y; w) E y 0l(y 0 ; w). Under H 0, n\ FSIC 2 = n J ^u> ^u weighted sum of dependent 2 variables. Difficult to get (1 )-quantile for the threshold. 12/29

47 Asymptotic Distribution of ^u \FSIC 2 (X ; Y ) = 1 J JX i=1 ^u 2 (v i ; w i ) = 1 J ^u> ^u; where ^u = (^u(v 1 ; w 1 ); : : : ; ^u(v J ; w J )) > : Proposition 2 (Asymptotic distribution of ^u). For any fixed locations f(v i ; w i )g J i=1, we have p n(^u u) d! N (0; ): ij =E xy [ ~ k (x; v i ) ~ l(y; w i ) ~ k (x; v j ) ~ l(y; w j )] u(v i ; w i )u(v j ; w j ), ~k (x; v) := k (x; v) E x 0k (x 0 ; v), ~l(y; w) := l(y; w) E y 0l(y 0 ; w). Under H 0, n\ FSIC 2 = n J ^u> ^u weighted sum of dependent 2 variables. Difficult to get (1 )-quantile for the threshold. 12/29

48 Normalized FSIC (NFSIC) NFSIC \ 2 (X ; Y ) = ^ n := n ^u > 1 ^ + n I ^u; with a regularization parameter n 0. Key: NFSIC = FSIC normalized by the covariance. Theorem 1 (NFSIC test is consistent). Assume 1 The product kernel is characteristic and analytic. 2 lim n!1 n = 0. Then, for any k ; l and f(v i ; w i )g J i=1, 1 Under H 0, ^ n d! 2 (J ) as n! 1. 2 Under H 1, lim n!1 P ^n T = 1, -almost surely. 13/29

49 Normalized FSIC (NFSIC) NFSIC \ 2 (X ; Y ) = ^ n := n ^u > 1 ^ + n I ^u; with a regularization parameter n 0. Key: NFSIC = FSIC normalized by the covariance. Theorem 1 (NFSIC test is consistent). Assume 1 The product kernel is characteristic and analytic. 2 lim n!1 n = 0. Then, for any k ; l and f(v i ; w i )g J i=1, 1 Under H 0, ^ n d! 2 (J ) as n! 1. 2 Under H 1, lim n!1 P ^n T = 1, -almost surely. 13/29

50 Normalized FSIC (NFSIC) NFSIC \ 2 (X ; Y ) = ^ n := n ^u > 1 ^ + n I ^u; with a regularization parameter n 0. Key: NFSIC = FSIC normalized by the covariance. Theorem 1 (NFSIC test is consistent). Assume 1 The product kernel is characteristic and analytic. 2 lim n!1 n = 0. Then, for any k ; l and f(v i ; w i )g J i=1, 1 Under H 0, ^ n d! 2 (J ) as n! 1. 2 Under H 1, lim n!1 P ^n T = 1, -almost surely. 13/29

51 Normalized FSIC (NFSIC) NFSIC \ 2 (X ; Y ) = ^ n := n ^u > 1 ^ + n I ^u; with a regularization parameter n 0. Key: NFSIC = FSIC normalized by the covariance. Theorem 1 (NFSIC test is consistent). Assume 1 The product kernel is characteristic and analytic. 2 lim n!1 n = 0. Then, for any k ; l and f(v i ; w i )g J i=1, 1 Under H 0, ^ n d! 2 (J ) as n! 1. 2 Under H 1, lim n!1 P ^n T = 1, -almost surely. 13/29

52 Normalized FSIC (NFSIC) NFSIC \ 2 (X ; Y ) = ^ n := n ^u > 1 ^ + n I ^u; with a regularization parameter n 0. Key: NFSIC = FSIC normalized by the covariance. Theorem 1 (NFSIC test is consistent). Assume 1 The product kernel is characteristic and analytic. 2 lim n!1 n = 0. Then, for any k ; l and f(v i ; w i )g J i=1, 1 Under H 0, ^ n d! 2 (J ) as n! 1. 2 Under H 1, lim n!1 P ^n T = 1, -almost surely. 13/29

53 Normalized FSIC (NFSIC) NFSIC \ 2 (X ; Y ) = ^ n := n ^u > 1 ^ + n I ^u; with a regularization parameter n 0. Key: NFSIC = FSIC normalized by the covariance. Theorem 1 (NFSIC test is consistent). Assume 1 The product kernel is characteristic and analytic. 2 lim n!1 n = 0. Then, for any k ; l and f(v i ; w i )g J i=1, 1 Under H 0, ^ n d! 2 (J ) as n! 1. 2 Under H 1, lim n!1 P ^n T = 1, -almost surely. Asymptotically, false positive rate is at under H 0, and always reject under H 1. 13/29

54 \ An Estimator of NFSIC 2 ^ n := n ^u > 1 ^ + n I ^u; Test locations f(v i ; w i )g J i=1. K = [k (v i ; x j )] 2R J n L = [l(w i ; y j )] 2R J n. (No n n Gram matrix.) Estimators 1 ^u = (KL)1n n 1 (K1 n )(L1n ) n(n 1). 2 ^ = > n where := (K n 1 K1 n 1 > n ) (L n 1 L1 n 1 > n ) ^u1> n : ^ n can be computed in O(J 3 + J 2 n + (d x + d y )Jn) time. Main Point: Linear in n. Cubic in J (small). 14/29

55 \ An Estimator of NFSIC 2 ^ n := n ^u > 1 ^ + n I ^u; Test locations f(v i ; w i )g J i=1. K = [k (v i ; x j )] 2R J n L = [l(w i ; y j )] 2R J n. (No n n Gram matrix.) Estimators 1 ^u = (KL)1n n 1 (K1 n )(L1n ) n(n 1). 2 ^ = > n where := (K n 1 K1 n 1 > n ) (L n 1 L1 n 1 > n ) ^u1> n : ^ n can be computed in O(J 3 + J 2 n + (d x + d y )Jn) time. Main Point: Linear in n. Cubic in J (small). 14/29

56 \ An Estimator of NFSIC 2 ^ n := n ^u > 1 ^ + n I ^u; Test locations f(v i ; w i )g J i=1. K = [k (v i ; x j )] 2R J n L = [l(w i ; y j )] 2R J n. (No n n Gram matrix.) Estimators 1 ^u = (KL)1n n 1 (K1 n )(L1n ) n(n 1). 2 ^ = > n where := (K n 1 K1 n 1 > n ) (L n 1 L1 n 1 > n ) ^u1> n : ^ n can be computed in O(J 3 + J 2 n + (d x + d y )Jn) time. Main Point: Linear in n. Cubic in J (small). 14/29

57 \ An Estimator of NFSIC 2 ^ n := n ^u > 1 ^ + n I ^u; Test locations f(v i ; w i )g J i=1. K = [k (v i ; x j )] 2R J n L = [l(w i ; y j )] 2R J n. (No n n Gram matrix.) Estimators 1 ^u = (KL)1n n 1 (K1 n )(L1n ) n(n 1). 2 ^ = > n where := (K n 1 K1 n 1 > n ) (L n 1 L1 n 1 > n ) ^u1> n : ^ n can be computed in O(J 3 + J 2 n + (d x + d y )Jn) time. Main Point: Linear in n. Cubic in J (small). 14/29

58 \ An Estimator of NFSIC 2 ^ n := n ^u > 1 ^ + n I ^u; Test locations f(v i ; w i )g J i=1. K = [k (v i ; x j )] 2R J n L = [l(w i ; y j )] 2R J n. (No n n Gram matrix.) Estimators 1 ^u = (KL)1n n 1 (K1 n )(L1n ) n(n 1). 2 ^ = > n where := (K n 1 K1 n 1 > n ) (L n 1 L1 n 1 > n ) ^u1> n : ^ n can be computed in O(J 3 + J 2 n + (d x + d y )Jn) time. Main Point: Linear in n. Cubic in J (small). 14/29

59 Optimizing Test Locations f(v i ; w i )g J i =1 Test NFSIC \ 2 is consistent for any random locations f(v i ; w i )g J i=1. In practice, tuning them will increase the test power. 15/29

60 Optimizing Test Locations f(v i ; w i )g J i =1 Test NFSIC \ 2 is consistent for any random locations f(v i ; w i )g J i=1. In practice, tuning them will increase the test power. 15/29

61 Optimizing Test Locations f(v i ; w i )g J i =1 Test NFSIC \ 2 is consistent for any random locations f(v i ; w i )g J i=1. In practice, tuning them will increase the test power. Under H 0 : X? Y, we have ^ n 2 (J ) as n! 1. Â 2 (J) ^ n 15/29

62 Optimizing Test Locations f(v i ; w i )g J i =1 Test NFSIC \ 2 is consistent for any random locations f(v i ; w i )g J i=1. In practice, tuning them will increase the test power. Under H 0 : X? Y, we have ^ n 2 (J ) as n! 1. Â 2 (J) T ^ n 15/29

63 Optimizing Test Locations f(v i ; w i )g J i =1 Test NFSIC \ 2 is consistent for any random locations f(v i ; w i )g J i=1. In practice, tuning them will increase the test power. Under H 1, ^ n will be large. Follows some distribution P H1 (^ n ) Â 2 (J) T P H1 (^ n) ^ n 15/29

64 Optimizing Test Locations f(v i ; w i )g J i =1 Test NFSIC \ 2 is consistent for any random locations f(v i ; w i )g J i=1. In practice, tuning them will increase the test power. Test power = P(reject H 0 j H 1 true) =P(^ n T ) Â 2 (J) T P H1 (^ n) ^ n 15/29

65 Optimizing Test Locations f(v i ; w i )g J i =1 Test NFSIC \ 2 is consistent for any random locations f(v i ; w i )g J i=1. In practice, tuning them will increase the test power. Test power = P(reject H 0 j H 1 true) =P(^ n T ) Â 2 (J) T P H1 (^ n) ^ n Idea: Pick locations and Gaussian widths to maximize (lower bound of) test power. 15/29

66 Optimizing Test Locations f(v i ; w i )g J i =1 Test NFSIC \ 2 is consistent for any random locations f(v i ; w i )g J i=1. In practice, tuning them will increase the test power. Test power = P(reject H 0 j H 1 true) =P(^ n T ) Â 2 (J) T P H1 (^ n) ^ n Idea: Pick locations and Gaussian widths to maximize (lower bound of) test power. 15/29

67 Optimization Objective = Power Lower Bound Recall ^ n := n ^u > ^ + n I 1 Theorem 2 (A lower bound on the test power). Let NFSIC 2 (X ; Y ) := n := nu > 1 u. ^u. With some conditions, for any k ; l, and f(v i ; w i )g J i=1, the test power satisfies P ^n T L( n ) where L( n ) = 1 62e 12 n (n T)2 =n 2e b0:5nc(n T)2 =[2n 2 ] 2e [(n T)n (n 1)=3 3n c32 n n(n 1)] 2 =[4n 2 (n 1)] ; where 1 ; : : : ; 4 ; c 3 > 0 are constants. For large n, L( n ) is increasing in n. Do: Locations and Gaussian widths = arg max L( n ) = arg max n 16/29

68 Optimization Objective = Power Lower Bound Recall ^ n := n ^u > ^ + n I 1 Theorem 2 (A lower bound on the test power). Let NFSIC 2 (X ; Y ) := n := nu > 1 u. ^u. With some conditions, for any k ; l, and f(v i ; w i )g J i=1, the test power satisfies P ^n T L( n ) where L( n ) = 1 62e 12 n (n T)2 =n 2e b0:5nc(n T)2 =[2n 2 ] 2e [(n T)n (n 1)=3 3n c32 n n(n 1)] 2 =[4n 2 (n 1)] ; where 1 ; : : : ; 4 ; c 3 > 0 are constants. For large n, L( n ) is increasing in n. Do: Locations and Gaussian widths = arg max L( n ) = arg max n 16/29

69 Optimization Objective = Power Lower Bound Recall ^ n := n ^u > ^ + n I 1 Theorem 2 (A lower bound on the test power). Let NFSIC 2 (X ; Y ) := n := nu > 1 u. ^u. With some conditions, for any k ; l, and f(v i ; w i )g J i=1, the test power satisfies P ^n T L( n ) where L( n ) = 1 62e 12 n (n T)2 =n 2e b0:5nc(n T)2 =[2n 2 ] 2e [(n T)n (n 1)=3 3n c32 n n(n 1)] 2 =[4n 2 (n 1)] ; where 1 ; : : : ; 4 ; c 3 > 0 are constants. For large n, L( n ) is increasing in n. Do: Locations and Gaussian widths = arg max L( n ) = arg max n 16/29

70 Optimization Objective = Power Lower Bound Recall ^ n := n ^u > ^ + n I 1 Theorem 2 (A lower bound on the test power). Let NFSIC 2 (X ; Y ) := n := nu > 1 u. ^u. With some conditions, for any k ; l, and f(v i ; w i )g J i=1, the test power satisfies P ^n T L( n ) where L( n ) = 1 62e 12 n (n T)2 =n 2e b0:5nc(n T)2 =[2n 2 ] 2e [(n T)n (n 1)=3 3n c32 n n(n 1)] 2 =[4n 2 (n 1)] ; where 1 ; : : : ; 4 ; c 3 > 0 are constants. For large n, L( n ) is increasing in n. Do: Locations and Gaussian widths = arg max L( n ) = arg max n 16/29

71 Optimization Procedure NFSIC 2 (X ; Y ) := n := nu > 1 u is unknown. Split the data into 2 disjoint sets: training (tr) and test (te) sets. Procedure: 1 Estimate n with ^ (tr) n (i.e., computed on the training set). 2 Optimize all f(v i ; w i )g J i=1 and Gaussian widths with gradient ascent. 3 Independence test with Splitting avoids overfitting. (te) (te) ^ n. Reject H 0 if ^ n T. 17/29

72 Optimization Procedure NFSIC 2 (X ; Y ) := n := nu > 1 u is unknown. Split the data into 2 disjoint sets: training (tr) and test (te) sets. Procedure: 1 Estimate n with ^ (tr) n (i.e., computed on the training set). 2 Optimize all f(v i ; w i )g J i=1 and Gaussian widths with gradient ascent. 3 Independence test with Splitting avoids overfitting. (te) (te) ^ n. Reject H 0 if ^ n T. 17/29

73 Optimization Procedure NFSIC 2 (X ; Y ) := n := nu > 1 u is unknown. Split the data into 2 disjoint sets: training (tr) and test (te) sets. Procedure: 1 Estimate n with ^ (tr) n (i.e., computed on the training set). 2 Optimize all f(v i ; w i )g J i=1 and Gaussian widths with gradient ascent. 3 Independence test with Splitting avoids overfitting. (te) (te) ^ n. Reject H 0 if ^ n T. 17/29

74 Optimization Procedure NFSIC 2 (X ; Y ) := n := nu > 1 u is unknown. Split the data into 2 disjoint sets: training (tr) and test (te) sets. Procedure: 1 Estimate n with ^ (tr) n (i.e., computed on the training set). 2 Optimize all f(v i ; w i )g J i=1 and Gaussian widths with gradient ascent. 3 Independence test with Splitting avoids overfitting. (te) (te) ^ n. Reject H 0 if ^ n T. But, what does this do to P(^ n T ) when H 0 holds? 17/29

75 Optimization Procedure NFSIC 2 (X ; Y ) := n := nu > 1 u is unknown. Split the data into 2 disjoint sets: training (tr) and test (te) sets. Procedure: 1 Estimate n with ^ (tr) n (i.e., computed on the training set). 2 Optimize all f(v i ; w i )g J i=1 and Gaussian widths with gradient ascent. 3 Independence test with Splitting avoids overfitting. (te) (te) ^ n. Reject H 0 if ^ n T. But, what does this do to P(^ n T ) when H 0 holds? Still asymptotically at. n = 0 iff X ; Y independent. So, under H 0, we do arg max 0 = arbitrary locations. Asymptotic null distribution is 2 (J ) for any locations. 17/29

76 Demo: 2D Rotation ˆµ xy (v, w) 18/29

77 Demo: 2D Rotation ˆµ xy (v, w) ˆµ x (v)ˆµ y (w) ˆµ xy (v, w) ˆµ x (v)ˆµ y (w) ˆΣ(v, w) ˆλ n 18/29

78 Demo: Sin Problem (! = 1) ˆµ xy (v, w) y ω = p(x; y) = x /29

79 Demo: Sin Problem (! = 1) ˆµ xy (v, w) ˆµ x (v)ˆµ y (w) ˆµ xy (v, w) ˆµ x (v)ˆµ y (w) ˆΣ(v, w) ˆλ n y ω = p(x; y) = x /29

80 Simulation Settings n = full sample size All methods use Gaussian kernels for both X and Y. Compare 6 methods Method Description Tuning Test size Complex. NFSIC-opt Proposed Gradient descent n =2 O(n) NFSIC-med No tuning. Random locations n O(n) QHSIC Full HSIC Median heu. n O(n 2 ) NyHSIC NyStrom HSIC Median heu. n O(n) FHSIC HSIC + RFFs Median heu. n O(n) RDC RFFs + CCA Median heu. n O(n log n) : Random Fourier features Given a problem, report rejection rate of H features for all (except QHSIC). J = 10 in NFSIC. 20/29

81 Simulation Settings n = full sample size All methods use Gaussian kernels for both X and Y. Compare 6 methods Method Description Tuning Test size Complex. NFSIC-opt Proposed Gradient descent n =2 O(n) NFSIC-med No tuning. Random locations n O(n) QHSIC Full HSIC Median heu. n O(n 2 ) NyHSIC NyStrom HSIC Median heu. n O(n) FHSIC HSIC + RFFs Median heu. n O(n) RDC RFFs + CCA Median heu. n O(n log n) : Random Fourier features Given a problem, report rejection rate of H features for all (except QHSIC). J = 10 in NFSIC. 20/29

82 Simulation Settings n = full sample size All methods use Gaussian kernels for both X and Y. Compare 6 methods Method Description Tuning Test size Complex. NFSIC-opt Proposed Gradient descent n =2 O(n) NFSIC-med No tuning. Random locations n O(n) QHSIC Full HSIC Median heu. n O(n 2 ) NyHSIC NyStrom HSIC Median heu. n O(n) FHSIC HSIC + RFFs Median heu. n O(n) RDC RFFs + CCA Median heu. n O(n log n) : Random Fourier features Given a problem, report rejection rate of H features for all (except QHSIC). J = 10 in NFSIC. 20/29

83 Simulation Settings n = full sample size All methods use Gaussian kernels for both X and Y. Compare 6 methods Method Description Tuning Test size Complex. NFSIC-opt Proposed Gradient descent n =2 O(n) NFSIC-med No tuning. Random locations n O(n) QHSIC Full HSIC Median heu. n O(n 2 ) NyHSIC NyStrom HSIC Median heu. n O(n) FHSIC HSIC + RFFs Median heu. n O(n) RDC RFFs + CCA Median heu. n O(n log n) : Random Fourier features Given a problem, report rejection rate of H features for all (except QHSIC). J = 10 in NFSIC. 20/29

84 Simulation Settings n = full sample size All methods use Gaussian kernels for both X and Y. Compare 6 methods Method Description Tuning Test size Complex. NFSIC-opt Proposed Gradient descent n =2 O(n) NFSIC-med No tuning. Random locations n O(n) QHSIC Full HSIC Median heu. n O(n 2 ) NyHSIC NyStrom HSIC Median heu. n O(n) FHSIC HSIC + RFFs Median heu. n O(n) RDC RFFs + CCA Median heu. n O(n log n) : Random Fourier features Given a problem, report rejection rate of H features for all (except QHSIC). J = 10 in NFSIC. 20/29

85 Simulation Settings n = full sample size All methods use Gaussian kernels for both X and Y. Compare 6 methods Method Description Tuning Test size Complex. NFSIC-opt Proposed Gradient descent n =2 O(n) NFSIC-med No tuning. Random locations n O(n) QHSIC Full HSIC Median heu. n O(n 2 ) NyHSIC NyStrom HSIC Median heu. n O(n) FHSIC HSIC + RFFs Median heu. n O(n) RDC RFFs + CCA Median heu. n O(n log n) : Random Fourier features Given a problem, report rejection rate of H features for all (except QHSIC). J = 10 in NFSIC. 20/29

86 Toy Problem 1: Independent Gaussians X N (0; I dx ) and Y N (0; I dy ). Independent X ; Y. So, H 0 holds. Set := 0:05; d x = d y = /29

87 Toy Problem 1: Independent Gaussians Type-I error X N (0; I dx ) and Y N (0; I dy ). Independent X ; Y. So, H 0 holds. Set := 0:05; d x = d y = 250. NFSIC-opt NFSIC-m ed QHSIC NyHSIC FHSIC RDC Sample size n Correct type-i errors (false positive rate). 21/29

88 Toy Problem 1: Independent Gaussians Type-I error X N (0; I dx ) and Y N (0; I dy ). Independent X ; Y. So, H 0 holds. Set := 0:05; d x = d y = 250. NFSIC-opt NFSIC-m ed QHSIC NyHSIC FHSIC RDC Sample size n Time (s) Correct type-i errors (false positive rate) Sample size n /29

89 Toy Problem 2: Sinusoid p xy (x ; y) / 1 + sin(!x ) sin(!y) where x ; y 2 ( ; ). Local changes between p xy and p x p y. Set n = /29

90 Toy Problem 2: Sinusoid p xy (x ; y) / 1 + sin(!x ) sin(!y) where x ; y 2 ( ; ). Local changes between p xy and p x p y. Set n = y ω = x /29

91 Toy Problem 2: Sinusoid p xy (x ; y) / 1 + sin(!x ) sin(!y) where x ; y 2 ( ; ). Local changes between p xy and p x p y. Set n = y ω = x 22/29

92 Toy Problem 2: Sinusoid p xy (x ; y) / 1 + sin(!x ) sin(!y) where x ; y 2 ( ; ). Local changes between p xy and p x p y. Set n = y ω = x 22/29

93 Toy Problem 2: Sinusoid p xy (x ; y) / 1 + sin(!x ) sin(!y) where x ; y 2 ( ; ). Local changes between p xy and p x p y. Set n = y ω = x 22/29

94 Toy Problem 2: Sinusoid p xy (x ; y) / 1 + sin(!x ) sin(!y) where x ; y 2 ( ; ). Local changes between p xy and p x p y. Set n = ω = Test power ω in 1 + sin(ωx)sin(ωy) y x 22/29

95 Toy Problem 2: Sinusoid Test power p xy (x ; y) / 1 + sin(!x ) sin(!y) where x ; y 2 ( ; ). Local changes between p xy and p x p y. Set n = NFSIC-opt NFSIC-m ed QHSIC NyHSIC FHSIC RDC ω in 1 + sin(ωx)sin(ωy) y ω = x 22/29

96 Toy Problem 2: Sinusoid Test power p xy (x ; y) / 1 + sin(!x ) sin(!y) where x ; y 2 ( ; ). Local changes between p xy and p x p y. Set n = NFSIC-opt NFSIC-m ed QHSIC NyHSIC FHSIC RDC ω in 1 + sin(ωx)sin(ωy) y ω = x Main Point: NFSIC can handle well the local changes in the joint space. 22/29

97 Toy Problem 3: Gaussian Sign Test power y = jz j Q d x i=1 sign(x i ), where x N (0; I dy ) and Z N (0; 1) (noise). Full interaction among x 1 ; : : : ; x dx. Need to consider all x 1 ; : : : ; x d to detect the dependency Sample size n Main Point: NFSIC can handle feature interaction. NFSIC-opt NFSIC-med QHSIC NyHSIC FHSIC RDC 23/29

98 Toy Problem 3: Gaussian Sign Test power y = jz j Q d x i=1 sign(x i ), where x N (0; I dy ) and Z N (0; 1) (noise). Full interaction among x 1 ; : : : ; x dx. Need to consider all x 1 ; : : : ; x d to detect the dependency Sample size n Main Point: NFSIC can handle feature interaction. NFSIC-opt NFSIC-med QHSIC NyHSIC FHSIC RDC 23/29

99 HSIC vs. FSIC Recall the witness ^u(v; w) = ^ xy (v; w) ^ x (v)^ y (w): HSIC [Gretton et al., 2005] = k^uk RKHS witness FSIC [proposed] = 1 J P Ji=1 ^u 2 (v i ; w i ) witness (v, w) Good when difference between p xy and p x p y is spatially diffuse. ^u is almost flat. (v, w) Good when difference between p xy and p x p y is local. ^u is mostly zero, has many peaks (feature interaction). 24/29

100 Real Problem 1: Million Song Data Song (X ) vs. year of release (Y ). Western commercial tracks from 1922 to 2011 [Bertin-Mahieux et al., 2011]. X 2R 90 contains audio features. Y 2R is the year of release. 25/29

101 Real Problem 1: Million Song Data Song (X ) vs. year of release (Y ). Type-I error Western commercial tracks from 1922 to 2011 [Bertin-Mahieux et al., 2011]. X 2R 90 contains audio features. Y 2R is the year of release. NFSIC-opt NFSIC-m ed QHSIC NyHSIC FHSIC RDC Sample size n Break (X ; Y ) pairs to simulate H 0. Test power Sample size n H 1 is true. 25/29

102 Real Problem 2: Videos and Captions Youtube video (X ) vs. caption (Y ). VideoStory46K [Habibian et al., 2014] X 2R 2000 : Fisher vector encoding of motion boundary histograms descriptors [Wang and Schmid, 2013]. Y 2R 1878 : bag of words. TF. 26/29

103 Real Problem 2: Videos and Captions Youtube video (X ) vs. caption (Y ). Type-I error VideoStory46K [Habibian et al., 2014] X 2R 2000 : Fisher vector encoding of motion boundary histograms descriptors [Wang and Schmid, 2013]. Y 2R 1878 : bag of words. TF. NFSIC-opt NFSIC-m ed QHSIC NyHSIC FHSIC RDC Sample size n Break (X ; Y ) pairs to simulate H 0. Test power Sample size n H 1 is true. 26/29

104 Penalize Redundant Test Locations Consider the Sin problem. Use J = 2 locations. Optimization objective: ^ n. Write t = (v; w). Fix t 1 at F. Plot t 2! ^ n (t 1 ; t 2 ). y ω = x ˆλn(t1, t2) y Sample t 2 trajectory t 1 x t 2 The optimized t 1 ; t 2 will not be in the same neighbourhood. 27/29

105 Test Power vs. J Test power does not always increase with J (number of test locations). n = ω = y Test power x J Accurate estimation of 2R ^ J J in ^ n = n ^u > 1 ^ + n I ^u becomes more difficult. Large J defeats the purpose of a linear-time test. 28/29

106 Conclusions Proposed The Finite Set Independence Criterion (FSIC). Independece test based on FSIC is 1 non-parametric, 2 linear-time, 3 adaptive (parameteris automatically tuned). Future works Any way to interpret the learned f(v i ; w i )g J i=1? Relative efficiency of FSIC vs. block HSIC, RFF-HSIC. 29/29

107 Conclusions Proposed The Finite Set Independence Criterion (FSIC). Independece test based on FSIC is 1 non-parametric, 2 linear-time, 3 adaptive (parameteris automatically tuned). Future works Any way to interpret the learned f(v i ; w i )g J i=1? Relative efficiency of FSIC vs. block HSIC, RFF-HSIC. 29/29

108 Questions? Thank you 30/29

109 References I Bertin-Mahieux, T., Ellis, D. P., Whitman, B., and Lamere, P. (2011). The million song dataset. In International Conference on Music Information Retrieval (ISMIR). Gretton, A., Borgwardt, K. M., Rasch, M. J., Schölkopf, B., and Smola, A. (2012). A Kernel Two-Sample Test. Journal of Machine Learning Research, 13: Gretton, A., Bousquet, O., Smola, A., and Schölkopf, B. (2005). Measuring Statistical Dependence with Hilbert-Schmidt Norms. In Algorithmic Learning Theory (ALT), pages /29

110 References II Habibian, A., Mensink, T., and Snoek, C. G. (2014). Videostory: A new multimedia embedding for few-example recognition and translation of events. In ACM International Conference on Multimedia, pages Wang, H. and Schmid, C. (2013). Action recognition with improved trajectories. In IEEE International Conference on Computer Vision (ICCV), pages Zhang, Q., Filippi, S., Gretton, A., and Sejdinovic, D. (2016). Large-Scale Kernel Methods for Independence Testing. 32/29