Finite-Sample Unbiased Variance of MMD under Unbalanced Sampling: Exact Estimation and Quasi-Linear Computation

Abstract:Accurately and efficiently estimating the variance of the Maximum Mean Discrepancy (MMD) remains challenging, particularly for unbalanced sample sizes. In this paper, we derive a finite-sample unbiased estimator of the MMD variance. To overcome the traditional $\mathcal{O}(N^2)$ computational bottleneck, we develop a recursive prefix-suffix accumulation scheme for the Laplace kernel, reducing the computational complexity to $\mathcal{O}(N \log N)$ while requiring $\mathcal{O}(N)$ memory. Experimental results verify the theoretical exactness and numerical stability of the proposed estimator and demonstrate its scalability on large datasets. Furthermore, the method proves effective for monitoring distributional convergence during the training of Time-series Generative Adversarial Networks (TimeGAN).

Machine Learning (stat.ML); Machine Learning (cs.LG)

I.2.6; F.2.2; G.3

arXiv:2601.13874 [stat.ML]

(or arXiv:2601.13874v3 [stat.ML] for this version)

https://doi.org/10.48550/arXiv.2601.13874 Focus to learn more arXiv-issued DOI via DataCite

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