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HilbertSchmidtIndependenceCriterion

Julia implementations of the Hilbert-Schmidt Independence Criterion (HSIC)

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Hilbert-Schmidt Independence Criterion (HSIC)

This package provides basic implementations of the Hilbert-Schmidt Independence Criterion (HSIC) for Julia 1.0.

What is implemented

The package currently contains the following implementations:

  • Gamma HSIC (HSIC with Gamma approximation) [1]

Example

The gamma HSIC can be run using:

X = randn(1, 100) # rows are samples
Y = randn(1, 100) * 0.2 # rows are samples
p = 0.1 # p-value (level of test)
(value, threshold) = gammaHSIC(X, Y, α = p)
independent = value < threshold

Reference

[1] Gretton, Arthur, et al. "A kernel statistical test of independence." Advances in Neural Information Processing Systems. 2007.

First Commit

01/27/2016

Last Touched

6 months ago

Commits

15 commits

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