Statistical Model Criticism using Kernel Two Sample Tests

@inproceedings{Lloyd2015StatisticalMC,
  title={Statistical Model Criticism using Kernel Two Sample Tests},
  author={James Robert Lloyd and Zoubin Ghahramani},
  booktitle={NIPS},
  year={2015}
}
We propose an exploratory approach to statistical model criticism using maximum mean discrepancy (MMD) two sample tests. Typical approaches to model criticism require a practitioner to select a statistic by which to measure discrepancies between data and a statistical model. MMD two sample tests are instead constructed as an analytic maximisation over a large space of possible statistics and therefore automatically select the statistic which most shows any discrepancy. We demonstrate on… CONTINUE READING
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