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So in GP the correlation between random variables is encoded by kernel function. I have few question in this regard:

  • Is the learned hyperparameters of the kernel such as lengtscale directly relate to the correlation between the variables? In other words if i am at variable $x$ does $x+L$ & $x-L$ determine the interval of the neighbourhood that the variable x is correlated with? Here $L$ is the lengthscale of the kernel function such as RBF kernel.
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The Gaussian RBF kernel, also known as the squared exponential or exponentiated quadratic kernel, is $$ k(x, y) = \exp\left( - \frac{\lVert x - y \rVert^2}{2 \ell^2} \right) ,$$ where $\ell$ is often called the lengthscale. Remember that for $f \sim \mathcal{GP}(0, k)$, the correlation between $f(x)$ and $f(y)$ is exactly $k(x, y)$. So with a Gaussian RBF kernel, any two points have positive correlation – but it goes to zero pretty quickly as you get farther and farther away.

  • When $x$ and $y$ are $\ell$ apart, the correlation is $\exp(- \frac{\ell^2}{2 \ell^2}) = \exp(-\frac12) \approx 0.61$ – a decent amount of correlation.
  • $2 \ell$ apart means correlation $\exp(-\frac{2^2}{2}) \approx 0.14$ – only slightly dependent.
  • $3 \ell$ apart means correlation $\exp(-\frac{3^2}2) \approx 0.01$ – barely dependent.
  • $4 \ell$ apart means correlation $\exp(-\frac{4^2}{2}) \approx 0.0003$ – essentially independent for almost all practical purposes.

Other kernels will have different behavior here and different meaning for the lengthscale. For instance, the exponential or Laplace kernel $\exp(-\lVert x - y \rVert / \ell)$ has smaller correlation $0.37$ at one lengthscale, but has much heavier tails: it still has correlation $0.02$ at 4 lengthscales, 55 times as much as the Gaussian kernel does.

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  • $\begingroup$ Makes so much sense, So hypothetically if I want to quantify the neighborhood. What shall be the value for decent amount of correlation? The reason I asked this question is I want to determine if some random variable from a query falls under the neighborhood of some optimal point $x$ in GP. So what metric can I use to determine if it falls under the neighborhood of that point? $2L$ or is there a better alternative? $\endgroup$ – GENIVI-LEARNER Jan 19 at 22:08
  • $\begingroup$ Or there is no such thing as neighbourhood as you mentioned that merely choosing different kernel function will lead to different correlation value. In that case I shall be doomed. $\endgroup$ – GENIVI-LEARNER Jan 19 at 22:18
  • $\begingroup$ Also +1 for great intuitive answer! $\endgroup$ – GENIVI-LEARNER Jan 19 at 22:18
  • $\begingroup$ @GENIVI-LEARNER It depends entirely on what you want to do with this neighborhood. If you want, you could choose a kernel which is actually 0 after some distance; this would allow for such a definition, but would also change your model, maybe significantly. $\endgroup$ – Dougal Jan 20 at 3:27
  • $\begingroup$ yes i did realize that, neighborhood depends entirely on the kernel. I just want to classify the point and its a good approximate if it falls under the neighborhood of some optimal point. So I am trying to see what are my options. $\endgroup$ – GENIVI-LEARNER Jan 20 at 8:18

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