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Paper · 2304.14762 · ICML · 2023

Using Perturbation to Improve Goodness-of-Fit Tests based on Kernelized Stein Discrepancy

Axel Gandy, Xing Liu, Andrew Duncan

arXiv · PDF · Open in the Atlas

Code that ran

We lifted 16 functions out of this paper's own repositories and ran 0 of them in a sandbox. "Ran" means the function executed on a synthesized input and returned a value. It is not a reproduction of the paper's results.

RepositoryRoleRan
XingLLiu/pksd canonical 0 of 16
FunctionStatusWhere it lives
compute_ksd Not yet run XingLLiu/pksd/pksd/kgof/kernel.py
code served (permissive licence) · get_code("48932edc3b597c09")
create_mixture_gaussian_kdim_logprobb Not yet run XingLLiu/pksd/pksd/models_np.py
code served (permissive licence) · get_code("703b535ace0bba4b")
ksdagg_wild_custom Not yet run XingLLiu/pksd/pksd/kgof/ksdagg.py
code served (permissive licence) · get_code("01ab641d9bba2730")
l2norm Not yet run XingLLiu/pksd/pksd/kernel.py
code served (permissive licence) · get_code("5ac1129cecb37805")
logsumexp Not yet run XingLLiu/pksd/pksd/models_np.py
code served (permissive licence) · get_code("1e9f4edd607a92bd")
merge_modes Not yet run XingLLiu/pksd/pksd/find_modes.py
code served (permissive licence) · get_code("0e4dfe17d8b7d807")
multivariate_t_logprob Not yet run XingLLiu/pksd/pksd/models_np.py
code served (permissive licence) · get_code("6a15096c15f4ca4e")
norm2_sq Not yet run XingLLiu/pksd/pksd/sensors.py
code served (permissive licence) · get_code("b3810f48851c8037")
norm2_sq_np Not yet run XingLLiu/pksd/pksd/sensors.py
code served (permissive licence) · get_code("c5325727ede27f6e")
pairwise_mahalanobis Not yet run XingLLiu/pksd/pksd/find_modes.py
code served (permissive licence) · get_code("16fc88a882225eb1")
plot_sensors Not yet run XingLLiu/pksd/pksd/sensors.py
code served (permissive licence) · get_code("fade3727070787f0")
prepare_proposal_input Not yet run XingLLiu/pksd/pksd/langevin.py
code served (permissive licence) · get_code("44916ebc94da1c8f")
prepare_proposal_input_all Not yet run XingLLiu/pksd/pksd/langevin.py
code served (permissive licence) · get_code("f0eef89f6029121e")
ratio_ksd_stdev Not yet run XingLLiu/pksd/pksd/kgof/kernel.py
code served (permissive licence) · get_code("afdccdc29f702ebf")
stein_kernel_matrices Not yet run XingLLiu/pksd/pksd/kgof/kernel.py
code served (permissive licence) · get_code("ec8a35d4a6925338")
t_prob_fast Not yet run XingLLiu/pksd/pksd/models.py
code served (permissive licence) · get_code("94592dc674f4f6a4")

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Abstract

Kernelized Stein discrepancy (KSD) is a scorebased discrepancy widely used in goodness-of-fit tests. It can be applied even when the target distribution has an unknown normalising factor, such as in Bayesian analysis. We show theoretically and empirically that the KSD test can suffer from low power when the target and the alternative distributions have the same well-separated modes but differ in mixing proportions. We propose to perturb the observed sample via Markov transition kernels, with respect to which the target distribution is invariant. This allows us to then employ the KSD test on the perturbed sample. We provide numerical evidence that with suitably chosen transition kernels the proposed approach can lead to substantially higher power than the KSD test.

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