Related papers: Maximum likelihood estimation and uncertainty quan…
It is common to model a deterministic response function, such as the output of a computer experiment, as a Gaussian process with a Mat\'ern covariance kernel. The smoothness parameter of a Mat\'ern kernel determines many important…
Gaussian process regression underpins countless academic and industrial applications of machine learning and statistics, with maximum likelihood estimation routinely used to select appropriate parameters for the covariance kernel. However,…
Gaussian process regression is used throughout statistics and machine learning for prediction and uncertainty quantification. A Gaussian process is specified by its mean and covariance functions. Many covariance functions, including…
We investigate the frequentist coverage properties of credible sets resulting in from Gaussian process priors with squared exponential covariance kernel. First we show that by selecting the scaling hyper-parameter using the maximum marginal…
Gaussian process (GP) regression is a Bayesian nonparametric method for regression and interpolation, offering a principled way of quantifying the uncertainties of predicted function values. For the quantified uncertainties to be…
The family of Mat\'ern kernels are often used in spatial statistics, function approximation and Gaussian process methods in machine learning. One reason for their popularity is the presence of a smoothness parameter that controls, for…
The kernel function and its hyperparameters are the central model selection choice in a Gaussian proces (Rasmussen and Williams, 2006). Typically, the hyperparameters of the kernel are chosen by maximising the marginal likelihood, an…
Gaussian processes are ubiquitous in machine learning, statistics, and applied mathematics. They provide a flexible modelling framework for approximating functions, whilst simultaneously quantifying uncertainty. However, this is only true…
We develop a computational procedure to estimate the covariance hyperparameters for semiparametric Gaussian process regression models with additive noise. Namely, the presented method can be used to efficiently estimate the variance of the…
Gaussian process modeling is a standard tool for building emulators for computer experiments, which are usually used to study deterministic functions, for example, a solution to a given system of partial differential equations. This work…
When the data are sparse, optimization of hyperparameters of the kernel in Gaussian process regression by the commonly used maximum likelihood estimation (MLE) criterion often leads to overfitting. We show that choosing hyperparameters (in…
Gaussian Process Regression is a well-known machine learning technique for which several quantum algorithms have been proposed. We show here that in a wide range of scenarios these algorithms show no exponential speedup. We achieve this by…
Gaussian processes (GPs) are Bayesian non-parametric models popular in a variety of applications due to their accuracy and native uncertainty quantification (UQ). Tuning GP hyperparameters is critical to ensure the validity of prediction…
We consider covariance parameter estimation for a Gaussian process under inequality constraints (boundedness, monotonicity or convexity) in fixed-domain asymptotics. We address the estimation of the variance parameter and the estimation of…
Gaussian processes are important models in the field of probabilistic numerics. We present a procedure for optimizing Mat\'ern kernel temporal Gaussian processes with respect to the kernel covariance function's hyperparameters. It is based…
We report an exact likelihood computation for Linear Gaussian Markov processes that is more scalable than existing algorithms for complex models and sparsely sampled signals. Better scaling is achieved through elimination of repeated…
Gaussian processes are powerful, yet analytically tractable models for supervised learning. A Gaussian process is characterized by a mean function and a covariance function (kernel), which are determined by a model selection criterion. The…
In this work, we investigate Gaussian process regression used to recover a function based on noisy observations. We derive upper and lower error bounds for Gaussian process regression with possibly misspecified correlation functions. The…
Current methods for regularization in machine learning require quite specific model assumptions (e.g. a kernel shape) that are not derived from prior knowledge about the application, but must be imposed merely to make the method work. We…
Gaussian process regression is a classical kernel method for function estimation and data interpolation. In large data applications, computational costs can be reduced using low-rank or sparse approximations of the kernel. This paper…