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Practical Evaluation Based on Independence Score (ANM-HSIC)

In the original paper, the ANM is seen as a discriminative model and the fit score is based on an independence test between noise and cause. More precisely for the two alternatives X → Y and Y → X , the estimated mechanisms and are obtained via Gaussian process regressions. These estimated regression functions are used to estimate the residuals n^Y=yf^Y(x)\hat{n}_Y = y-\hat{f}_Y(x) and n^X=xf^X(y)\hat{n}_X = x - \hat{f}_X(y). The scores SXYS_{X → Y} and SYXS_{Y → X} correspond respectively to kernel HSIC independence test between n^Y\hat{n}_Y and x (for X → Y ) and between n^X\hat{n}_X and y (for Y → X ).

If SXY<SYXS_{X → Y} < S_{Y → X} it is decided that X → Y . If SXY>SYXS_{X → Y} > S_{Y → X} it is decided that Y → X .

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Updated 2020-07-24

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Data Science