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PNL Practical Evaluation

The Post-NonLinear (PNL) model is evaluated using an independence score between the cause and the noise. As g^Y\hat{g}_Y is assumed to be invertible, the noise variable can be recovered from the joint distribution PX,YP_{X, Y} as: N^Y=g^Y1(Y)f^Y(X)\hat{N}_Y = \hat{g}_Y^{-1}(Y) - \hat{f}_Y(X). The noise variable is then estimated by functions l1l_1 and l2l_2 such as N^Y=l1(Y)l2(X)\hat{N}_Y = l_1(Y) - l_2(X) with N^Y\hat{N}_Y independent of XX. This solves a constrained nonlinear Independent Component Analysis (ICA) problem, which can be achieved by minimizing I(X,N^Y;θ)I(X,\hat{N}_Y; \theta), the mutual information between XX and N^Y\hat{N}_Y with respect to the model parameter θ\theta. Symmetrically, an optimization of I(Y,N^X;θ)I(Y,\hat{N}_X; \theta) is performed. The causal direction X rightarrow Y is preferred if I(X,N^Y;θ^)<I(Y,N^X;θ^)I(X,\hat{N}_Y; \hat{\theta}) < I(Y,\hat{N}_X; \hat{\theta}), and Y rightarrow X otherwise.

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Updated 2026-06-16

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Data Science