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One of the methods for nonparametric regression is using kernels. My question is what are the conditions on the kernels functions in this method? In other words how can I decide if a given function can be used as a kernel?

Thanks

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Notion of a kernel has a strict mathematical definition (from here):

Definition. $k : \mathcal{X} \times \mathcal{X} \rightarrow \mathbb{R}$ is a kernel if

  1. $k$ is symmetric: $k(x,y) =k(y,x)$.
  2. $k$ is positive semi-definite, i.e., $\forall x_1,x_2,...,x_n \in \mathcal{X}$, the ”Gram Matrix” $K$ defined by $K_{ij}=k(x_i,x_j)$ is positive semi-definite. (A matrix $M \in \mathbb{R}^{n \times n}$ is positive semi-definite if $\forall a \in \mathbb{R}^n, a'Ma\ge0$.)

Intuition behind a kernel is that it implicitly maps its input to some space (possibly infinite-dimensional), and then computes an inner product in that space:

$$ k(x, y) = \phi(x)^T \phi(y) $$

Then $K$ is effectively a Gram matrix, so you have to check if it's symmetric and positive-definite. This is not something you can test on a computer, you'll have to prove it mathematically.

Mercer's theorem says that a kernel can be represented as $$ k(s, t) = \sum_{j=1}^\infty \lambda_j e_j(t) e_j(s) $$ for some non-negative $\lambda$. From this form it easily follows that $K$ is positive semi-definite. So if you can represent your function in a form of RHS of the above equation, your function is a kernel.

You can also show a function is a kernel if you decompose it into a combination of known-to-be kernels:

  • Sum of two kernels is a kernel
  • A kernel multiplied by a positive number is a kernel
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