The empirical Christoffel function with applications in data analysis
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Abstract: We illustrate the potential applications in machine learning of the Christoffel function, or more precisely, its empirical counterpart associated with a counting measure uniformly supported on a finite set of points. Firstly, we provide a thresholding scheme which allows to approximate the support of a measure from a finite subset of its moments with strong asymptotic guaranties. Secondly, we provide a consistency result which relates the empirical Christoffel function and its population counterpart in the limit of large samples. Finally, we illustrate the relevance of our results on simulated and real world datasets for several applications in statistics and machine learning: (a) density and support estimation from finite samples, (b) outlier and novelty detection and (c) affine matching.
After the definition and discussion of the properties of the Christoffel function, the empirical Christoffel function is introduced, which has an input measure \(\mu\) being a scaled counting measure uniformly supported on a set of data points. The aim of the article is then to present application of the empirical Christoffel function to machine learning procedures. The function can be used also for density estimation, support inference (recovering the unknown support of a population measure \(\mu\) from \(n\) independent samples) and outlier detection. Several numerical applications in statistics and machine learning are treated.
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- A disintegration of the Christoffel function
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