What is a Gaussian Process?
- We have considered splines and kernel regression methods. These
require choice of somewhat arbitrary set of knots.
- Antoher possibility is to setup a prior distribution for the
regression function using a Gaussian Process.
- This is a very flexible class of models that has distinct computational
and theoretical advantages. It can be viewed as a potentially
infinite-dimensional generalization of Gaussian distributions.
- See the excellent (and free) book Gaussian Processes for Machine
Learning by Carl Edward
Rasmussen and Christopher K. I. Williams.