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

Schrab, Antonin, Jitkrittum, Wittawat, Szabo, Zoltan, Sejdinovic, Dino and Gretton, Arthur (2022) Discussion of ‘Multi-scale Fisher’s independence test for multivariate dependence’. Biometrika, 109 (3). 597 – 603. ISSN 0006-3444

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Identification Number: 10.1093/biomet/asac028


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.

Item Type: Article
Official URL:
Additional Information: © 2022 The Authors
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
Date Deposited: 22 Jul 2022 10:57
Last Modified: 12 Sep 2022 10:54

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