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PNL Practical Evaluation

The model has been evaluated in using an independence score between cause and noise. As g^Y\hat{g}_Y is assumed to be invertible, the idea is that the noise variable can be recovered from PX,YP_{X , Y} as: N^Y=gY1(Y)fY(X)\hat{N}_Y = g_Y^{-1}(Y) - f_Y(X) The noise variable is then estimated by functions l1l_1 and l2l_2 such as Y^Y=l1(Y)l2(X)\hat{Y}_Y = l_1(Y) - l_2(X) with N^Y\hat{N}_Y independent of X. It comes back to solve a constrained nonlinear ICA problem, that can be achieved by minimizing I(X,N^Y;θ)I(X,\hat{N}_Y; \theta), the mutual information between X and N^Y\hat{N}_Y with respect to the parameter of the model θ . Symmetrically, an optimization of I(X,N^Y;θ)I(X,\hat{N}_Y; \theta) is performed. The causal direction X → 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)}, Y → X otherwise.

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Updated 2020-07-28

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Data Science