Part 4: Covariance operator for reproducing kernels
Another important operator defined on a RKHS is Covariance operator, which is essential for doing kernel PCA, kernel CCA, and independence testing etc. We will see that under certain conditions, the centered Covariance operator is Hilbert-Schmidt, moreover, sharing the same spectrum as the HS Integral operator introduced in Part 3.
Posted by Eden on September 30, 2020