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stat.ME2025
Kernel Two-Sample Testing via Directional Components Analysis
Rui Cui, Yuhao Li, Xiaojun Song
Standard kernel two-sample tests, such as those based on the Maximum Mean Discrepancy (MMD), aggregate squared differences across all directions in a Reproducing Kernel Hilbert Spa…
econ.EM2025
Finite-Sample Distortion in Kernel Specification Tests: A Perturbation Analysis of Empirical Directional Components
Cui Rui, Li Yuhao, Song Xiaojun
This paper provides a new theoretical lens for understanding the finite-sample performance of kernel-based specification tests, such as the Kernel Conditional Moment (KCM) test. Ra…
econ.EM2025
A Powerful Chi-Square Specification Test with Support Vectors
Yuhao Li, Xiaojun Song
Specification tests, such as Integrated Conditional Moment (ICM) and Kernel Conditional Moment (KCM) tests, are crucial for model validation but often lack power in finite samples.…