The linear conditional expectation in Hilbert space
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Abstract: The linear conditional expectation (LCE) provides a best linear (or rather, affine) estimate of the conditional expectation and hence plays an important r^ole in approximate Bayesian inference, especially the Bayes linear approach. This article establishes the analytical properties of the LCE in an infinite-dimensional Hilbert space context. In addition, working in the space of affine Hilbert--Schmidt operators, we establish a regularisation procedure for this LCE. As an important application, we obtain a simple alternative derivation and intuitive justification of the conditional mean embedding formula, a concept widely used in machine learning to perform the conditioning of random variables by embedding them into reproducing kernel Hilbert spaces.
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Cited in
(4)- A rigorous theory of conditional mean embeddings
- Conditional expectation using compactification operators
- High-dimensional functional graphical model structure learning via neighborhood selection approach
- Uncertainty Quantification and Experimental Design for Large-Scale Linear Inverse Problems under Gaussian Process Priors
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