Dan Simpson • 9/26/2022

Priors for the parameters in a Gaussian process

This detailed article discusses how to construct Penalised Complexity (PC) priors for the parameters of a Gaussian process (GP). It walks through the motivation, provides necessary background on stationary GPs, and derives the PC prior, aiming to be a self-contained resource for those working with Bayesian models involving Gaussian processes.

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#Statistical Modeling #Bayesian Statistics #Gaussian Process