Minimax Goodness-of-Fit Testing in Multivariate Nonparametric Regression

TL;DR

This paper develops a minimax framework for goodness-of-fit testing of unknown functions in multivariate nonparametric regression, providing asymptotic error bounds and illustrating with various function classes.

Contribution

It introduces a unified, non-adaptive testing methodology with sharp asymptotics for a broad class of ellipsoidal function spaces in multivariate settings.

Findings

Derived rate and sharp asymptotics for error probabilities.

Applicable to Sobolev, tensor Sobolev, Sloan-Woźniakowski, and analytic function norms.

Discussed extensions to general designs, unknown variance, and adaptivity.

Abstract

We consider an unknown response function $f$ defined on $\Delta=[0,1]^d$, $1\le d\le\infty$, taken at $n$ random uniform design points and observed with Gaussian noise of known variance. Given a positive sequence $r_n\to 0$ as $n\to\infty$ and a known function $f_0 \in L_2(\Delta)$, we propose, under general conditions, a unified framework for the goodness-of-fit testing problem for testing the null hypothesis $H_0: f=f_0$ against the alternative $H_1: f\in\CF, \|f-f_0\|\ge r_n$, where $\CF$ is an ellipsoid in the Hilbert space $ L_2(\Delta)$ with respect to the tensor product Fourier basis and $\|\cdot\|$ is the norm in $ L_2(\Delta)$. We obtain both rate and sharp asymptotics for the error probabilities in the minimax setup. The derived tests are inherently non-adaptive. Several illustrative examples are presented. In particular, we consider functions belonging to ellipsoids arising from the well-known multidimensional Sobolev and tensor product Sobolev norms as well as from the less-known Sloan-Wo$\rm\acute{z}$niakowski norm and a norm constructed from multivariable analytic functions on the complex strip. Some extensions of the suggested minimax goodness-of-fit testing methodology, covering the cases of general design schemes with a known product probability density function, unknown variance, other basis functions and adaptivity of the suggested tests, are also briefly discussed.