Comparing Scale Parameter Estimators for Gaussian Process Interpolation with the Brownian Motion Prior: Leave-One-Out Cross Validation and Maximum Likelihood

Masha Naslidnyk, Motonobu Kanagawa, Toni Karvonen +1

Gaussian process (GP) regression is a Bayesian nonparametric method for regression and interpolation, offering a principled way of quantifying the uncertainties of predicted functi…