Early Stopping for Nonparametric Testing

Abstract

Early stopping of iterative algorithms is an algorithmic regularization method to avoid over-fitting in estimation and classification. In this paper, we show that early stopping can also be applied to obtain the minimax optimal testing in a general non-parametric setup. Specifically, a Wald-type test statistic is obtained based on an iterated estimate produced by functional gradient descent algorithms in a reproducing kernel Hilbert space. A notable contribution is to establish a ``sharp'' stopping rule: when the number of iterations achieves an optimal order, testing optimality is achievable; otherwise, testing optimality becomes impossible. As a by-product, a similar sharpness result is also derived for minimax optimal estimation under early stopping. All obtained results hold for various kernel classes, including Sobolev smoothness classes and Gaussian kernel classes.