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Metrizing Weak Convergence with Maximum Mean Discrepancies

Machine Learning 2021-09-06 v3 Probability Statistics Theory Machine Learning Statistics Theory

Abstract

This paper characterizes the maximum mean discrepancies (MMD) that metrize the weak convergence of probability measures for a wide class of kernels. More precisely, we prove that, on a locally compact, non-compact, Hausdorff space, the MMD of a bounded continuous Borel measurable kernel k, whose reproducing kernel Hilbert space (RKHS) functions vanish at infinity, metrizes the weak convergence of probability measures if and only if k is continuous and integrally strictly positive definite (i.s.p.d.) over all signed, finite, regular Borel measures. We also correct a prior result of Simon-Gabriel & Sch\"olkopf (JMLR, 2018, Thm.12) by showing that there exist both bounded continuous i.s.p.d. kernels that do not metrize weak convergence and bounded continuous non-i.s.p.d. kernels that do metrize it.

Keywords

Cite

@article{arxiv.2006.09268,
  title  = {Metrizing Weak Convergence with Maximum Mean Discrepancies},
  author = {Carl-Johann Simon-Gabriel and Alessandro Barp and Bernhard Schölkopf and Lester Mackey},
  journal= {arXiv preprint arXiv:2006.09268},
  year   = {2021}
}

Comments

14 pages. Corrects in particular Thm.12 of Simon-Gabriel and Sch\"olkopf, JMLR, 19(44):1-29, 2018. See http://jmlr.org/papers/v19/16-291.html

R2 v1 2026-06-23T16:22:42.284Z