Consistent Kernel Mean Estimation for Functions of Random Variables

Adam Scibior, Carl-Johann Simon-Gabriel, Ilya O. Tolstikhin, Bernhard Schölkopf

Neural Information Processing Systems 

Our results extend to functions of multiple random variables. If the variables are dependent, we require an estimator of the mean embedding of their joint distribution as a starting point; if they are independent, it is sufficient to have separate estimators of the mean embeddings of their marginal distributions.

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