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Old 05-30-2012, 12:35 PM
dudefromdayton dudefromdayton is offline
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Default Re: Support Vector Machines, Kernel Functions, Data Snooping

This answer isn't perfect by any means, but the libsvm FAQ offers this answer. If you decide in advance that you'll stop there no matter what, you haven't snooped.

If you want to try several kernels, use your selection as a parameter for validation. Then you snoop in the same way you might choose C, etc.

If you have knowledge as to how the data are produced (as opposed to what the data are), this might help you pick a kernel. For example, if you expect without snooping that the response should be symmetric in two variables, pick a kernel such as RBF that takes advantage of it. Example: homework 2 problems 8-10 use an unknown f that is symmetric in x1 and x2.
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