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Paper detail

New normality test in high dimension with kernel methods

A new goodness-of-fit test for normality in high-dimension (and Reproducing Kernel Hilbert Space) is proposed. It shares common ideas with the Maximum Mean Discrepancy (MMD) it outperforms both in terms of computation time and applicability to a wider range of data. Theoretical results are derived for the Type-I and Type-II errors. They guarantee the control of Type-I error at prescribed level and an exponentially fast decrease of the Type-II error. Synthetic and real data also illustrate the practical improvement allowed by our test compared with other leading approaches in high-dimensional settings.

preprint2014arXivOpen access
Jérémie KellnerAlain Celisse
math.STStatistics Theory
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Jérémie KellnerAlain Celisse

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