What Can a Weight Be?

Once a kernel gives a weight a home, a second question follows: what is the weight allowed to be? Not all reproducing kernel Hilbert spaces are the same. A Sobolev space lets the weight have a sharp corner; a Gaussian's space forbids it; on normalized data the home is a sphere graded by spherical harmonics. A kernel is secretly a price list for roughness, and that list decides everything. Four…