Metrizing Weak Convergence with Maximum Mean Discrepancies
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Theorem 12 of Simon-Gabriel Schölkopf (JMLR, 2018) seemed to close a 40-year-old quest to characterize maximum mean discrepancies (MMD) that metrize the weak convergence of probability measures. We prove, however, that the theorem is incorrect and provide a correction. We show that, on a locally compact, non-compact, Hausdorff space, the MMD of a bounded continuous Borel measurable kernel k, whose RKHS-functions vanish at infinity, metrizes the weak convergence of probability measures if and only if k is continuous and integrally strictly positive definite (ISPD) over all signed, finite, regular Borel measures. We also show that, contrary to the claim of the aforementioned Theorem 12, there exist both bounded continuous ISPD kernels that do not metrize weak convergence and bounded continuous non-ISPD kernels that do metrize it.
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