Bernoulli

  • Bernoulli
  • Volume 25, Number 2 (2019), 1536-1567.

New tests of uniformity on the compact classical groups as diagnostics for weak-$^{*}$ mixing of Markov chains

Amir Sepehri

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Abstract

This paper introduces two new families of non-parametric tests of goodness-of-fit on the compact classical groups. One of them is a family of tests for the eigenvalue distribution induced by the uniform distribution, which is consistent against all fixed alternatives. The other is a family of tests for the uniform distribution on the entire group, which is again consistent against all fixed alternatives. The construction of these tests heavily employs facts and techniques from the representation theory of compact groups. In particular, new Cauchy identities are derived and proved for the characters of compact classical groups, in order to accommodate the computation of the test statistic. We find the asymptotic distribution under the null and general alternatives. The tests are proved to be asymptotically admissible. Local power is derived and the global properties of the power function against local alternatives are explored.

The new tests are validated on two random walks for which the mixing-time is studied in the literature. The new tests, and several others, are applied to the Markov chain sampler proposed by Jones, Osipov and Rokhlin [Proc. Natl. Acad. Sci. 108 (2011) 15679–15686], providing strong evidence supporting the claim that the sampler mixes quickly.

Article information

Source
Bernoulli, Volume 25, Number 2 (2019), 1536-1567.

Dates
Received: June 2017
Revised: February 2018
First available in Project Euclid: 6 March 2019

Permanent link to this document
https://projecteuclid.org/euclid.bj/1551862859

Digital Object Identifier
doi:10.3150/18-BEJ1029

Mathematical Reviews number (MathSciNet)
MR3920381

Zentralblatt MATH identifier
07049415

Keywords
Cauchy identity goodness-of-fit mixing-diagnostics for Markov Chains non-parametric hypothesis testing random rotation generators representation theory of compact groups spectral analysis

Citation

Sepehri, Amir. New tests of uniformity on the compact classical groups as diagnostics for weak-$^{*}$ mixing of Markov chains. Bernoulli 25 (2019), no. 2, 1536--1567. doi:10.3150/18-BEJ1029. https://projecteuclid.org/euclid.bj/1551862859


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Supplemental materials

  • Supplement to “New tests of uniformity on the compact classical groups as diagnostics for weak-$^{*}$ mixing of Markov chains”. We provide additional supporting material including background and proofs from representation theory, proofs of some of the results, introduction to Le Cam’s theory, further derivation and analysis of local properties, as well as a test based on the trace. The motivating example is also reviewed.
    Digital Object Identifier: doi:10.3150/18-BEJ1029SUPP
    Supplemental files are immediately available to subscribers. Non-subscribers gain access to supplemental files with the purchase of the article.

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