Tailoring Density Estimation via Reproducing Kernel Moment Matching
Le Song, Xinhua Zhang, Alex Smola, Arthur Gretton and Bernhard Schölkopf
In: International Conference on Machine Learning, 5-9 July 2008, Helsinki, Finland.
Moment matching is a popular means of parametric density estimation. We extend this technique to nonparametric estimation of mixture models. Our approach works by embedding distributions into a reproducing kernel Hilbert space, and performing moment matching in that space. This allows us to tailor density estimators to a function class of interest (i.e., for which we would like to compute expectations). We show our density estimation approach is useful in applications such as message compression in graphical models, and image classification and retrieval.