New methods to compute the generalized chi-square distribution

Univariate and multivariate normal probability distributions are widely used when modeling decisions under uncertainty. Computing the performance of such models requires integrating these distributions over specific domains, which can vary widely across models. Besides some special cases, there exist no general analytical expressions, standard numerical methods or software for these integrals. Here we present mathematical results and open-source software that provide (i) the probability in any domain of a normal in any dimensions with any parameters, (ii) the probability density, cumulative distribution, and inverse cumulative distribution of any function of a normal vector, (iii) the classification errors among any number of normal distributions, the Bayes-optimal discriminability index and relation to the operating characteristic, (iv) ways to scale the discriminability of two distributions, (v) dimension reduction and visualizations for such problems, and (vi) tests for how reliably these methods may be used on given data. We demonstrate these tools with vision research applications of detecting occluding objects in natural scenes, and detecting camouflage.

We revisit extending the Kolmogorov-Smirnov distance between probability distributions to the multi-dimensional setting, and make new arguments about the proper way to approach this generalization. Our proposed formulation maximizes the difference over orthogonal dominating rectangular ranges (d-sided rectangles in R^d), and is an integral probability metric. We also prove that the distance between a distribution and a sample from the distribution converges to 0 as the sample size grows, and bound this rate. Moreover, we show that one can, up to this same approximation error, compute the distance efficiently in 4 or fewer dimensions; specifically, the runtime is near-linear in the size of the sample needed for that error. With this, we derive a delta-precision two-sample hypothesis test using this distance. Finally, we show these metrics and approximation properties do not hold for other popular variants.

Understanding the distributional structure of high-dimensional datasets has become an important topic, yet direct visual characterization is difficult. In this work, we develop a geometric framework for characterizing the distributional structure of empirical datasets by quantifying their deviation from the Gaussian family under the geometry induced by optimal transport theory. Building on the cone structure of the relative translation invariant quadratic Wasserstein $(RW_2)$ space, we define two geometric quantities---the \emph{relative Wasserstein angle} and the \emph{orthogonal projection distance}---and show that they are well-defined because of the flat geometry of the filling cone between distributional rays. This formulation recasts the problem of measuring deviation from the Gaussian family as an orthogonal projection problem onto the Gaussian cone and reveals that the commonly used moment-matching Gaussian is, in general, not the $W_2$-nearest Gaussian to a non-Gaussian distribution. In one dimension, we derive closed-form expressions for the proposed quantities and extend closed-form expressions to several other location--scale families, including uniform, Laplace, and logistic distributions. In higher dimensions, we develop a numerical approximation method for the proposed quantities based on empirical optimal transport and covariance-shape optimization. Our experimental results show the empirical convergence and stability of the proposed methods and reveal that the $RW_2$ angle provides a robust and consistent measure of distributional non-Gaussianity. Moreover, these results provide empirical support for its potential use as an indicator of distributional heterogeneity.