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Kernel-Based Embeddings of Joint Distributions
Kernel embeddings for learning machines achieve strong performance through their representational power. To leverage this, Lopez-Paz et al. introduced kernel-based embeddings for feature construction in pairwise causal discovery. Starting from a dataset of empirical joint distributions S = { (x_{ij},y_{ij}){j=1}^{n_i} }{i=1}^n, a kernel mean embedding projects all these distributions into the same Reproducing Kernel Hilbert Space (RKHS) . To obtain a homogeneous, low-dimensional embedding, random cosine-based embeddings are used to approximate empirical kernel mean embeddings: where is the kernel mean embedding of the empirical distribution , and defines the number of dimensions of the output space. The kernel parameters are sampled i.i.d. from . Finally, with p_k : mathbb{R}^d rightarrow mathbb{R} being the positive and integrable Fourier transform of the chosen kernel (equal to 1 in this case).
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Data Science