arXivDaily arXiv每日学术速递 周一至周五更新
arXiv周末暂无论文更新,休息一下吧,周末愉快~~
arXiv 1206.4682cs.LGmath.STstat.MLstat.TH
收藏

基于Copula的核依赖测度

Copula-based Kernel Dependency Measures

Carnegie Mellon University(卡内基梅隆大学);University of Cambridge(剑桥大学)

Barnabas Poczos, Zoubin Ghahramani, Jeff Schneider

摘要:

本文提出了一种新的基于copula的随机变量相关性度量方法。我们的方法将最大平均离散性扩展到联合分布的copula。我们证明,这种方法有几个有利的属性。类似于香农互信息,建议的相关性措施是不变的任何严格增加的变换的边际变量。这在许多应用中是重要的,例如在特征选择中。该估计量是一致的,对离群值具有鲁棒性,并且仅使用秩统计量。我们推导出上界的收敛速度,并提出独立性测试。我们通过一系列的实验,在特征选择和低维嵌入分布的理论贡献。

英文摘要:

The paper presents a new copula based method for measuring dependence between random variables. Our approach extends the Maximum Mean Discrepancy to the copula of the joint distribution. We prove that this approach has several advantageous properties. Similarly to Shannon mutual information, the proposed dependence measure is invariant to any strictly increasing transformation of the marginal variables. This is important in many applications, for example in feature selection. The estimator is consistent, robust to outliers, and uses rank statistics only. We derive upper bounds on the convergence rate and propose independence tests too. We illustrate the theoretical contributions through a series of experiments in feature selection and low-dimensional embedding of distributions.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑