A kernel conditional two-sample test
Pierre-François Massiani, Christian Fiedler, Lukas Haverbeck, Friedrich Solowjow, Sebastian Trimpe
We propose a framework for hypothesis testing on conditional probability distributions, which we then use to construct conditional two-sample statistical tests. These tests identify the inputs --- called covariates in this context --- where two conditional expectations differ with high probability. Our key idea is to transform confidence bounds of a learning method into a conditional two-sample test, and we instantiate this principle for kernel ridge regression (KRR) and conditional kernel mean embeddings. We generalize existing pointwise-in-time or time-uniform confidence bounds for KRR to previously-inaccessible yet essential cases such as infinite-dimensional outputs with non-trace-class kernels. These bounds enable circumventing the need for independent data in our statistical tests, since they allow online sampling. We also introduce bootstrapping schemes leveraging the parametric form of testing thresholds identified in theory to avoid tuning inaccessible parameters, making our method readily applicable in practice. Such conditional two-sample tests are especially relevant in applications where data arrive sequentially or non-independently, or when output distributions vary with operational parameters. We demonstrate their utility through examples in process monitoring and comparison of dynamical systems. Overall, our results establish a comprehensive foundation for conditional two-sample testing, from theoretical guarantees to practical implementation, and advance the state-of-the-art on the concentration of vector-valued least squares estimation.