The kernel mean embedding of a random probability distribution and its principal components
Given a random probability distribution \(F\), whose realizations are defined on \(\mathbb R^d\), and a kernel \(k\), our aim is to analyze the properties of the kernel mean embedding, \(\mu_F\), of \(F\) as a random element of the corresponding reproducing kernel Hilbert space \(\mathcal H\). This establishes a rigoro...