Infinitely-many Gaussian RVs: The Gaussian process
Felipe Tobar
2021 Talk
in
Tutorial: The Art of Gaussian Processes: Classical and Contemporary
in
Tutorial: The Art of Gaussian Processes: Classical and Contemporary
Abstract
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.
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