Correntropy: Properties and Applications in Non-Gaussian Signal Processing

  title={Correntropy: Properties and Applications in Non-Gaussian Signal Processing},
  author={Weifeng Liu and Puskal P. Pokharel and Jos{\'e} Carlos Pr{\'i}ncipe},
  journal={IEEE Transactions on Signal Processing},
The optimality of second-order statistics depends heavily on the assumption of Gaussianity. In this paper, we elucidate further the probabilistic and geometric meaning of the recently defined correntropy function as a localized similarity measure. A close relationship between correntropy and M-estimation is established. Connections and differences between correntropy and kernel methods are presented. As such correntropy has vastly different properties compared with second-order statistics that… CONTINUE READING
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