A Measure-Theoretic Approach to Kernel Conditional Mean Embeddings

We present an operator-free, measure-theoretic approach to the conditional mean embedding (CME) as a random variable taking values in a reproducing kernel Hilbert space. While the kernel mean embedding of unconditional distributions has been defined rigorously, the existing operator-based approach of the conditional version depends on stringent assumptions that hinder its analysis. We overcome this limitation via a measure-theoretic treatment of CMEs. We derive a natural regression interpretation to obtain empirical estimates, and provide a thorough theoretical analysis thereof, including universal consistency. As natural by-products, we obtain the conditional analogues of the maximum mean discrepancy and Hilbert-Schmidt independence criterion, and demonstrate their behaviour via simulations. 34th Conference on Neural Information Processing Systems (NeurIPS 2020),