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

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

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.

Suggested Citation

  • Schrab, Antonin & Jitkrittum, Wittawat & Szabo, Zoltan & Sejdinovic, Dino & Gretton, Arthur, 2022. "Discussion of ‘Multi-scale Fisher’s independence test for multivariate dependence’," LSE Research Online Documents on Economics 115629, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:115629
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    File URL: http://eprints.lse.ac.uk/115629/
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    References listed on IDEAS

    as
    1. S Gorsky & L Ma, 2022. "Multi-scale Fisher’s independence test for multivariate dependence [A simple measure of conditional dependence]," Biometrika, Biometrika Trust, vol. 109(3), pages 569-587.
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    1. S Gorsky & L Ma, 2022. "Rejoinder: ‘Multi-scale Fisher’s independence test for multivariate dependence’ [Discussion of ‘Multi-scale Fisher’s independence test for multivariate dependence’]," Biometrika, Biometrika Trust, vol. 109(3), pages 605-609.
    2. D Lee & H El-Zaatari & M R Kosorok & X Li & K Zhang, 2022. "Discussion of ‘Multi-scale Fisher’s independence test for multivariate dependence’ [Multi-scale Fisher’s independence test for multivariate dependence]," Biometrika, Biometrika Trust, vol. 109(3), pages 593-596.

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    Keywords

    EP/S021566/1;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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