AI & ML
Second Maximum of a Gaussian Random Field and Exact (t-)Spacing test
arXiv stat.ML0 views
arXiv:2406.18397v4 Announce Type: replace-cross Abstract: In this article, we introduce the novel concept of the second maximum of a Gaussian random field defined on a Riemannian manifold: Once the field reaches its global maximum at a point $t_1$, the second maximum is the largest value of the field away from $t_1$, after the value and the gradient of the field at $t_1$ have been removed. This statistic serves as a powerful tool for characterizing the distribution of the global maximum. By employing an ad-hoc Kac-Rice formula, we derive the explicit distribution of the maximum, conditioned on the second maximum and the independent part of the Riemannian Hessian (the part of the Hessian at $t_1$ that is independent of the value and the gradient of the field at $t_1$). This approach yields an exact test based on the spacing between these maxima, which we refer to as the spacing test. We investigate the applicability of this test for detecting sparse alternatives in Gaussian symmetric tensors, continuous sparse deconvolution, and two-layered neural networks with smooth rectifiers. Theoretical results are supported by numerical experiments that illustrate the calibration and power of the proposed procedures. More generally, we provide a framework for applying the spacing test to continuous sparse regression for any Gaussian random field on a Riemannian manifold. Furthermore, when the variance-covariance function is known only up to a scaling factor, we derive an exact Studentized version of the procedure, coined the t-spacing test. We show that this test is perfectly calibrated under the null hypothesis and exhibits high power for detecting sparse alternatives. As a corollary, we derive an exact, non-asymptotic test for the spiked tensor model without requiring prior knowledge of the noise level.
Source:https://arxiv.org/abs/2406.18397PreviousSet Membership Estimation for Stochastic Linear Contextual BanditsNextSTAMP: Symmetric Temporal Averaging Message Passing for Domain Adaptation in Chronologically Split Graphs
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