Covariance functions

Variograms, Mercer kernels, positive definite operators, spare reproducing kernels for that Hilbert space I bought on eBay real cheap

A realisation of a nonstationary rough covariance process (partially observed)

On the interpretation of kernels as the covariance functions of stochastic processes, whcih is one way to define stochastic processes.

Suppose we have a real-valued stochastic process

\[\{\mathsf{x}(t)\}_{t\in \mathcal{T}} \] For now we may as well take the index to be \(\mathcal{T}\subseteq\mathbb{R}^D\), or at least a nice metric space.

The covariance kernel of \(\mathsf{x}\) is a function

\[\begin{aligned}\kappa:&\mathcal{T}\times \mathcal{T}&\to& \mathbb{R}\\ &s,t&\mapsto&\operatorname{Cov}(\mathsf{x}(s),\mathsf{x}(t)). \end{aligned}\]

This is covariance in the usual sense, to wit,

\[\begin{aligned} \operatorname{Cov}(\mathsf{x}(s),\mathsf{x}(t)) &:=\mathbb{E}[\mathsf{x}(s)-\mathbb{E}[\mathsf{x}(t)]] \mathbb{E}[\mathsf{x}(t)-\mathbb{E}[\mathsf{x}(t)]]\\ &=\mathbb{E}[\mathsf{x}(s)\mathsf{x}(t)]- \mathbb{E}[\mathsf{x}(s)]\mathbb{E}[\mathsf{x}(t)]\\ \end{aligned}\]

These are useful objects. In spatial statistics, Gaussian processes, kernel machines and covariance estimation we are concerned with such covariances between values of stochastic processes at different values of their indices. The Karhunen—Loève transform decomposes stochastic processes into a basis of eigenfunctions of the covariance kernel operator. You might consider them in terms of processes defined through convolution instead.

Any process with finite second moments has a covariance function. They are especially renowned for Gaussian process methods, since Gaussian processes are uniquely specified by their mean function and covariance kernels, and also have the usual convenient algebraic properties by virtue of being Gaussian.

TODO: relate to representer theorems.

Han Lin SHANG’s slides, relating this to PCA in functional data

Covariance kernels of some example processes

A simple Markov chain

Consider a homogeneous continuous time Markov process taking values in \(\{0,1\}\). Suppose it has transition rate matrix

\[\left[\begin{array}{cc} 0 & \lambda\\ \lambda & 0 \end{array}\right] \] and moreover, that we start the chain from the stationary distribution, \([\frac 1 2\; \frac 1 2]^\top,\) which implies that \(\operatorname{Cov}(0, t)=\operatorname{Cov}(s, s+t)\) for all \(s\), and further, that \(\mathbb{E}[\mathsf{x}(t)]=\frac 1 2 \,\forall t\). So we know that \(\operatorname{Cov}(s,s+t)=\mathbb{E}[\mathsf{x}(0)\mathsf{x}(t)]- \frac 1 4.\) What is \(\mathbb{E}[\mathsf{x}(0)\mathsf{x}(t)]\)?

\[\begin{aligned} \mathbb{E}[\mathsf{x}(0)\mathsf{x}(t)] &=\mathbb{P}[\{\mathsf{x}(0)=1\}\cap\{\mathsf{x}(t)=1\}]\\ &=\mathbb{P}[\text{number of jumps on \([0,t]\) is even}]\\ &=\mathbb{P}[\mathsf{z}\text{ is even}]\text{ where } \mathsf{z}\sim\operatorname{Poisson}(\lambda t)\\ &=\sum_{k=0}^{\infty}\frac{(\lambda t)^{2k} \exp(-\lambda t)}{(2k)!}\\ &= \exp(-\lambda t) \sum_{k=0}^{\infty}\frac{(\lambda t)^{2k}}{(2k)!}\\ &= \exp(-\lambda t)(\exp(-\lambda t) + \exp(\lambda t))/2 &\text{Taylor expansion}\\ &= \frac{\exp(-2\lambda t)}{2} + \frac{1}{2} \end{aligned}\]

From this we deduce that \(\operatorname{Cov}(s,s+t)=\frac{\exp(-2\lambda t)}{2} + \frac{1}{4}.\)

Question: what functions are admissible as covariance kernels for Markov chains?

The Hawkes process

Covariance kernels are also important in various point processes. Notably, the Hawkes process was introduced in terms of its covariance. 🚧

Gaussian processes

Handling certain functions in terms of their covariances is particularly convenient. Specifically, Gaussian processes are simple in this context. Such processes are

General real covariance kernels

A function \(K:\mathcal{T}\times\mathcal{T}\to\mathbb{R}\) can be a covariance kernel if

  1. It is symmetric in its arguments \(K(s,t)=K(t,s)\) (more generally, conjugate symmetric — \(K(s,t)=K^*(t,s)\), but I think maybe my life will be simpler if I ignore the complex case for the moment.)
  2. It is positive semidefinite.

That positive semidefiniteness means that for arbitrary real numbers \(c_1,\dots,c_k\) and arbitrary indices \(t_1,\dots,t_k\)

\[ \sum_{i=1}^{k} \sum_{j=1}^{k} c_{i} c_{j} K(t_{i}, t_{j}) \geq 0 \]

The interpretation here is since we need the covariances induced by the finite dimensional distributions fo this process to be consistent, it is necessary that

\[ \operatorname{Var}\left\{c_{1} X_{\mathbf{t}_{1}}+\cdots+c_{k} X_{\mathbf{t}_{k}}\right\}= \sum_{i=1}^{k} \sum_{j=1}^{k} c_{i} c_{j} K\left(\mathbf{t}_{i}, \mathbf{t}_{j}\right) \geq 0 \]

This arises from the constraint on the covariance of \(\operatorname{Var}(\mathbf X\in \mathbb{R}_+^d\) which requires that for \(\mathbf {b}\in \mathbb{R}^d\)

\[ \operatorname {var} (\mathbf {b} ^{\top}\mathbf {X} ) =\mathbf {b} ^{\top}\operatorname {var} (\mathbf {X} )\mathbf {b} \]

Question: What can we say about this covariance if every element of \(\mathbf X\) is non-negative?

Amazingly (to me), this necessary condition will also be sufficient to make something a covariance kernel. In practice designing covariance functions using positive definiteness is tricky; the space of positive definite kernels is implicit. What we normally do is find a fun class that guarantees positive definiteness and riffle through that. Most of the rest of this notebook is devoted to such classes.

Bonus: complex covariance kernels

I talked in terms of real kernels above because I generally observer real measurements of processes. But often complex covariances arise in a natural way too.

A function \(K:\mathcal{T}\times\mathcal{T}\to\mathbb{C}\) can be a covariance kernel if

  1. It is symmetric conjugate symmetric in its arguments — \(K(s,t)=K^*(t,s)\),
  2. It is positive semidefinite.

That positive semidefiniteness means that for arbitrary complex numbers \(c_1,\dots,c_k\) and arbitrary indices \(t_1,\dots,t_k\)

\[ \sum_{i=1}^{k} \sum_{j=1}^{k} c_{i} \overline{c_{j}} K(t_{i}, t_{j}) \geq 0. \]

Every analytic real kernel should also be a complex kernel, right? 🏗

Kernel zoo

For some examples of covariance kernels, see the kernel zoo.

Learning kernels

See learning kernels.

Non-positive kernels

As in, kernels which are not positive-definite. For example, [Ong et al. (2004);SahaLearning2020] 🏗


Abrahamsen, Petter. 1997. “A Review of Gaussian Random Fields and Correlation Functions.”
Agarwal, Arvind, and Hal Daumé Iii. 2011. “Generative Kernels for Exponential Families.” In Proceedings of the Fourteenth International Conference on Artificial Intelligence and Statistics, 85–92.
Alexanderian, Alen. 2015. “A Brief Note on the Karhunen-Loève Expansion.” October 26, 2015.
Aronszajn, N. 1950. “Theory of Reproducing Kernels.” Transactions of the American Mathematical Society 68 (3, 3): 337–404.
Álvarez, Mauricio A., Lorenzo Rosasco, and Neil D. Lawrence. 2012. “Kernels for Vector-Valued Functions: A Review.” Foundations and Trends® in Machine Learning 4 (3, 3): 195–266.
Bach, Francis. 2008. “Exploring Large Feature Spaces with Hierarchical Multiple Kernel Learning.” In Proceedings of the 21st International Conference on Neural Information Processing Systems, 105–12. NIPS’08. USA: Curran Associates Inc.
Bacry, Emmanuel, and Jean-François Muzy. 2016. “First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation.” IEEE Transactions on Information Theory 62 (4, 4): 2184–2202.
Balog, Matej, Balaji Lakshminarayanan, Zoubin Ghahramani, Daniel M. Roy, and Yee Whye Teh. 2016. “The Mondrian Kernel.” June 16, 2016.
Bochner, Salomon. 1959. Lectures on Fourier Integrals. Princeton University Press.
Bohn, Bastian, Michael Griebel, and Christian Rieger. 2018. “A Representer Theorem for Deep Kernel Learning.” June 7, 2018.
Bonilla, Edwin V., Karl Krauth, and Amir Dezfouli. 2019. “Generic Inference in Latent Gaussian Process Models.” Journal of Machine Learning Research 20 (117): 1–63.
Christoudias, Mario, Raquel Urtasun, and Trevor Darrell. 2009. “Bayesian Localized Multiple Kernel Learning.” UCB/EECS-2009-96. EECS Department, University of California, Berkeley.
Cortes, Corinna, Patrick Haffner, and Mehryar Mohri. 2004. “Rational Kernels: Theory and Algorithms.” Journal of Machine Learning Research 5 (December): 1035–62.
Cressie, Noel, and Hsin-Cheng Huang. 1999. “Classes of Nonseparable, Spatio-Temporal Stationary Covariance Functions.” Journal of the American Statistical Association 94 (448, 448): 1330–39.
Delft, Anne van, and Michael Eichler. 2016. “Locally Stationary Functional Time Series.” February 16, 2016.
Duvenaud, David. 2014. “Automatic Model Construction with Gaussian Processes.” PhD Thesis, University of Cambridge.
Duvenaud, David K., Hannes Nickisch, and Carl E. Rasmussen. 2011. “Additive Gaussian Processes.” In Advances in Neural Information Processing Systems, 226–34.
Duvenaud, David, James Lloyd, Roger Grosse, Joshua Tenenbaum, and Ghahramani Zoubin. 2013. “Structure Discovery in Nonparametric Regression Through Compositional Kernel Search.” In Proceedings of the 30th International Conference on Machine Learning (ICML-13), 1166–74.
Gaspari, Gregory, and Stephen E. Cohn. 1999. “Construction of Correlation Functions in Two and Three Dimensions.” Quarterly Journal of the Royal Meteorological Society 125 (554): 723–57.
Genton, Marc G. 2001. “Classes of Kernels for Machine Learning: A Statistics Perspective.” Journal of Machine Learning Research 2 (December): 299–312.
Genton, Marc G., and Olivier Perrin. 2004. “On a Time Deformation Reducing Nonstationary Stochastic Processes to Local Stationarity.” Journal of Applied Probability 41 (1, 1): 236–49.
Girolami, Mark, and Simon Rogers. 2005. “Hierarchic Bayesian Models for Kernel Learning.” In Proceedings of the 22nd International Conference on Machine Learning - ICML ’05, 241–48. Bonn, Germany: ACM Press.
Gneiting, Tilmann. 2002a. “Nonseparable, Stationary Covariance Functions for SpaceTime Data.” Journal of the American Statistical Association 97 (458): 590–600.
———. 2002b. “Compactly Supported Correlation Functions.” Journal of Multivariate Analysis 83 (2): 493–508.
Gneiting, Tilmann, William Kleiber, and Martin Schlather. 2010. “Matérn Cross-Covariance Functions for Multivariate Random Fields.” Journal of the American Statistical Association 105 (491, 491): 1167–77.
Grosse, Roger, Ruslan R. Salakhutdinov, William T. Freeman, and Joshua B. Tenenbaum. 2012. “Exploiting Compositionality to Explore a Large Space of Model Structures.” In Proceedings of the Conference on Uncertainty in Artificial Intelligence.
Hartikainen, J., and S. Särkkä. 2010. “Kalman Filtering and Smoothing Solutions to Temporal Gaussian Process Regression Models.” In 2010 IEEE International Workshop on Machine Learning for Signal Processing, 379–84. Kittila, Finland: IEEE.
Hawkes, Alan G. 1971. “Spectra of Some Self-Exciting and Mutually Exciting Point Processes.” Biometrika 58 (1): 83–90.
Hinton, Geoffrey E, and Ruslan R Salakhutdinov. 2008. “Using Deep Belief Nets to Learn Covariance Kernels for Gaussian Processes.” In Advances in Neural Information Processing Systems 20, edited by J. C. Platt, D. Koller, Y. Singer, and S. T. Roweis, 1249–56. Curran Associates, Inc.
Hofmann, Thomas, Bernhard Schölkopf, and Alexander J. Smola. 2008. “Kernel Methods in Machine Learning.” The Annals of Statistics 36 (3, 3): 1171–1220.
Kom Samo, Yves-Laurent, and Stephen Roberts. 2015. “Generalized Spectral Kernels.” June 7, 2015.
Kondor, Risi, and Tony Jebara. 2006. “Gaussian and Wishart Hyperkernels.” In Proceedings of the 19th International Conference on Neural Information Processing Systems, 729–36. NIPS’06. Cambridge, MA, USA: MIT Press.
Krauth, Karl, Edwin V. Bonilla, Kurt Cutajar, and Maurizio Filippone. 2016. AutoGP: Exploring the Capabilities and Limitations of Gaussian Process Models.” In Uai17.
Lawrence, Neil. 2005. “Probabilistic Non-Linear Principal Component Analysis with Gaussian Process Latent Variable Models.” Journal of Machine Learning Research 6 (Nov, Nov): 1783–1816.
Lloyd, James Robert, David Duvenaud, Roger Grosse, Joshua Tenenbaum, and Zoubin Ghahramani. 2014. “Automatic Construction and Natural-Language Description of Nonparametric Regression Models.” In Twenty-Eighth AAAI Conference on Artificial Intelligence.
Mercer, J. 1909. “Functions of Positive and Negative Type, and Their Connection with the Theory of Integral Equations.” Philosophical Transactions of the Royal Society of London. Series A, Containing Papers of a Mathematical or Physical Character 209 (441-458, 441-458): 415–46.
Micchelli, Charles A., and Massimiliano Pontil. 2005a. “Learning the Kernel Function via Regularization.” Journal of Machine Learning Research 6 (Jul, Jul): 1099–1125.
———. 2005b. “On Learning Vector-Valued Functions.” Neural Computation 17 (1, 1): 177–204.
Minasny, Budiman, and Alex. B. McBratney. 2005. “The Matérn Function as a General Model for Soil Variograms.” Geoderma, Pedometrics 2003, 128 (3–4, 3–4): 192–207.
Murphy, Kevin P. 2012. Machine Learning: A Probabilistic Perspective. 1 edition. Adaptive Computation and Machine Learning Series. Cambridge, MA: MIT Press.
Murray-Smith, Roderick, and Barak A. Pearlmutter. 2005. “Transformations of Gaussian Process Priors.” In Deterministic and Statistical Methods in Machine Learning, edited by Joab Winkler, Mahesan Niranjan, and Neil Lawrence, 110–23. Lecture Notes in Computer Science. Springer Berlin Heidelberg. barak/papers/MLW-Jul-2005.pdf.
O’Callaghan, Simon Timothy, and Fabio T. Ramos. 2011. “Continuous Occupancy Mapping with Integral Kernels.” In Twenty-Fifth AAAI Conference on Artificial Intelligence.
Ong, Cheng Soon, Xavier Mary, Stéphane Canu, and Alexander J. Smola. 2004. “Learning with Non-Positive Kernels.” In Twenty-First International Conference on Machine Learning - ICML ’04, 81. Banff, Alberta, Canada: ACM Press.
Ong, Cheng Soon, and Alexander J. Smola. 2003. “Machine Learning Using Hyperkernels.” In Proceedings of the Twentieth International Conference on International Conference on Machine Learning, 568–75. ICML’03. Washington, DC, USA: AAAI Press.
Ong, Cheng Soon, Alexander J. Smola, and Robert C. Williamson. 2002. “Hyperkernels.” In Proceedings of the 15th International Conference on Neural Information Processing Systems, 495–502. NIPS’02. Cambridge, MA, USA: MIT Press.
———. 2005. “Learning the Kernel with Hyperkernels.” Journal of Machine Learning Research 6 (Jul, Jul): 1043–71.
Perrin, Olivier, and Rachid Senoussi. 1999. “Reducing Non-Stationary Stochastic Processes to Stationarity by a Time Deformation.” Statistics & Probability Letters 43 (4): 393–97.
———. 2000. “Reducing Non-Stationary Random Fields to Stationarity and Isotropy Using a Space Deformation.” Statistics & Probability Letters 48 (1): 23–32.
Pérez-Abreu, Víctor, and Alfonso Rocha-Arteaga. 2005. “Covariance-Parameter Lévy Processes in the Space of Trace-Class Operators.” Infinite Dimensional Analysis, Quantum Probability and Related Topics 08 (01): 33–54.
Pfaffel, Oliver. 2012. “Wishart Processes.” January 16, 2012.
Rakotomamonjy, Alain, Francis R. Bach, Stéphane Canu, and Yves Grandvalet. 2008. SimpleMKL.” Journal of Machine Learning Research 9: 2491–521.
Rasmussen, Carl Edward, and Christopher K. I. Williams. 2006. Gaussian Processes for Machine Learning. Adaptive Computation and Machine Learning. Cambridge, Mass: Max-Planck-Gesellschaft; MIT Press.
Remes, Sami, Markus Heinonen, and Samuel Kaski. 2017. “Non-Stationary Spectral Kernels.” In Advances in Neural Information Processing Systems 30, edited by I. Guyon, U. V. Luxburg, S. Bengio, H. Wallach, R. Fergus, S. Vishwanathan, and R. Garnett, 4642–51. Curran Associates, Inc.
———. 2018. “Neural Non-Stationary Spectral Kernel.” November 27, 2018.
Sampson, Paul D., and Peter Guttorp. 1992. “Nonparametric Estimation of Nonstationary Spatial Covariance Structure.” Journal of the American Statistical Association 87 (417): 108–19.
Särkkä, Simo, and Jouni Hartikainen. 2012. “Infinite-Dimensional Kalman Filtering Approach to Spatio-Temporal Gaussian Process Regression.” In Artificial Intelligence and Statistics.
Särkkä, Simo, A. Solin, and J. Hartikainen. 2013. “Spatiotemporal Learning via Infinite-Dimensional Bayesian Filtering and Smoothing: A Look at Gaussian Process Regression Through Kalman Filtering.” IEEE Signal Processing Magazine 30 (4, 4): 51–61.
Schölkopf, Bernhard, Ralf Herbrich, and Alex J. Smola. 2001. “A Generalized Representer Theorem.” In Computational Learning Theory, edited by David Helmbold and Bob Williamson, 416–26. Lecture Notes in Computer Science. Springer Berlin Heidelberg.
Schölkopf, Bernhard, and Alexander J. Smola. 2002. Learning with Kernels: Support Vector Machines, Regularization, Optimization, and Beyond. MIT Press.
———. 2003. “A Short Introduction to Learning with Kernels.” In Advanced Lectures on Machine Learning, edited by Shahar Mendelson and Alexander J. Smola, 41–64. Lecture Notes in Computer Science 2600. Springer Berlin Heidelberg.
Sinha, Aman, and John C Duchi. 2016. “Learning Kernels with Random Features.” In Advances in Neural Information Processing Systems 29, edited by D. D. Lee, M. Sugiyama, U. V. Luxburg, I. Guyon, and R. Garnett, 1298–1306. Curran Associates, Inc.
Smith, Michael Thomas, Mauricio A. Alvarez, and Neil D. Lawrence. 2018. “Gaussian Process Regression for Binned Data.” September 6, 2018.
Stein, Michael L. 2005. “Space-Time Covariance Functions.” Journal of the American Statistical Association 100 (469): 310–21.
Sun, Shengyang, Guodong Zhang, Chaoqi Wang, Wenyuan Zeng, Jiaman Li, and Roger Grosse. 2018. “Differentiable Compositional Kernel Learning for Gaussian Processes.” 2018.
Székely, Gábor J., and Maria L. Rizzo. 2009. “Brownian Distance Covariance.” The Annals of Applied Statistics 3 (4, 4): 1236–65.
Uziel, Guy. 2020. “Nonparametric Sequential Prediction While Deep Learning the Kernel.” In International Conference on Artificial Intelligence and Statistics, 111–21. PMLR.
Vedaldi, A., and A. Zisserman. 2012. “Efficient Additive Kernels via Explicit Feature Maps.” IEEE Transactions on Pattern Analysis and Machine Intelligence 34 (3, 3): 480–92.
Vert, Jean-Philippe, Koji Tsuda, and Bernhard Schölkopf. 2004. “A Primer on Kernel Methods.” In Kernel Methods in Computational Biology. MIT Press.
Vishwanathan, S. V. N., Nicol N. Schraudolph, Risi Kondor, and Karsten M. Borgwardt. 2010. “Graph Kernels.” Journal of Machine Learning Research 11 (August): 1201–42.
Wilk, Mark van der, Andrew G. Wilson, and Carl E. Rasmussen. 2014. “Variational Inference for Latent Variable Modelling of Correlation Structure.” In NIPS 2014 Workshop on Advances in Variational Inference.
Wilson, Andrew Gordon, and Ryan Prescott Adams. 2013. “Gaussian Process Kernels for Pattern Discovery and Extrapolation.” In International Conference on Machine Learning.
Wilson, Andrew Gordon, Christoph Dann, Christopher G. Lucas, and Eric P. Xing. 2015. “The Human Kernel.” October 26, 2015.
Wilson, Andrew Gordon, and Zoubin Ghahramani. 2011. “Generalised Wishart Processes.” In Proceedings of the Twenty-Seventh Conference on Uncertainty in Artificial Intelligence, 736–44. UAI’11. Arlington, Virginia, United States: AUAI Press.
———. 2012. “Modelling Input Varying Correlations Between Multiple Responses.” In Machine Learning and Knowledge Discovery in Databases, edited by Peter A. Flach, Tijl De Bie, and Nello Cristianini, 858–61. Lecture Notes in Computer Science. Springer Berlin Heidelberg.
Wilson, Andrew Gordon, Zhiting Hu, Ruslan Salakhutdinov, and Eric P. Xing. 2016. “Deep Kernel Learning.” In Artificial Intelligence and Statistics, 370–78. PMLR.
Wu, Zongmin. 1995. “Compactly Supported Positive Definite Radial Functions.” Advances in Computational Mathematics 4 (1): 283–92.
Yaglom, A. M. 1987. Correlation Theory of Stationary and Related Random Functions. Volume II: Supplementary Notes and References. Springer Series in Statistics. New York, NY: Springer Science & Business Media.
Yu, Yaoliang, Hao Cheng, Dale Schuurmans, and Csaba Szepesvári. 2013. “Characterizing the Representer Theorem.” In Proceedings of the 30th International Conference on Machine Learning (ICML-13), 570–78.
Zhang, Aonan, and John Paisley. 2019. “Random Function Priors for Correlation Modeling.” In International Conference on Machine Learning, 7424–33.

Warning! Experimental comments system! If is does not work for you, let me know via the contact form.

No comments yet!

GitHub-flavored Markdown & a sane subset of HTML is supported.