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Infinitely-many Gaussian RVs: The Gaussian process
Felipe Tobar

Mon Dec 06 09:50 AM -- 10:10 AM (PST) @

We study the covariance function and its marginalisation properties to motivate the existence of an infinite collection of Gaussian RVs, that is, the Gaussian process. We then present the prior and posterior GP in an illustrative manner.

Author Information

Felipe Tobar (Universidad de Chile)

Felipe Tobar is an Assistant Professor at the Data & AI Initiative at Universidad de Chile. He holds Researcher positions at the Center for Mathematical Modeling and the Advanced Center for Electrical Engineering. Felipe received the BSc/MSc degrees in Electrical Engineering (U. de Chile, 2010) and a PhD in Signal Processing (Imperial College London, 2014), and he was an Associate Researcher in Machine Learning at the University of Cambridge (2014-2015). Felipe teaches Statistics and Machine Learning courses at undergraduate, graduate and professional levels. His research interests lie in the interface between Machine Learning and Statistical Signal Processing, including Gaussian processes, spectral estimation, approximate inference, Bayesian nonparametrics, and optimal transport.

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