Reference1 : Alexander J. Somola: Hilbert Schmidt Independence Criterion []

This post will cover major criterions that measure independency. Before we proceed, let’s define a what ‘independency’ is.

Given ${(x_1, y_1), \ldots, (x_m, y_m)} \sim Pr(x, y)$ determine whether $Pr(x, y) = Pr(x)Pr(y)$

Hilbert-Schmidt Independence Criterion (HSIC)

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