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Latent variable models, such as the GPLVM and related methods, help mitigate overfitting when learning from small or moderately sized training sets. Nevertheless, existing methods suffer from several problems: 1) complexity, 2) the lack of explicit mappings to and from the latent space, 3) an inability to cope with multimodality, and 4) the lack of a well-defined density over the latent space. We propose an LVM called the Kernel Information Embedding (KIE) that defines a coherent joint density over the input and a learned latent space. Learning is quadratic, and it works well on small data sets. We also introduce a generalization, the shared KIE (sKIE), that allows us to model multiple input spaces (e.g., image features and poses) using a single, shared latent representation. KIE and sKIE permit missing data during inference and partially labeled data during learning. We show that with data sets too large to learn a coherent global model, one can use the sKIE to learn local online models. We use sKIE for human pose inference.