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Add robust GP #43

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hippke opened this issue Aug 25, 2019 · 0 comments
Open

Add robust GP #43

hippke opened this issue Aug 25, 2019 · 0 comments
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enhancement New feature or request

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@hippke
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hippke commented Aug 25, 2019

Here's the model in PyMC3. We use a Gamma(2,1) prior over the lengthscale parameter, and weakly informative HalfCauchy(5) priors over the covariance function scale, and noise scale. A Gamma(2,0.1) prior is assigned to the degrees of freedom parameter of the noise. Finally, a GP prior is placed on the unknown function.

https://nbviewer.jupyter.org/github/fonnesbeck/Bios366/blob/master/notebooks/Section5_1-Gaussian-Processes.ipynb

@hippke hippke added the enhancement New feature or request label Aug 25, 2019
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