Adding Gaussian Process Covariance Functions

[andre.pfeuffer]

I hope this function:

Periodic Gaussian Process - covariance matrix not positive semidefinite

Sorry for the late reply–you could also use the spectral mixture kernel (https://arxiv.org/pdf/1302.4245.pdf). Here is Stan code for a two component mixture (i.e. an additive kernel with two different periodic components) in case it’s helpful to someone. matrix[n1, n1] Sigma1; for (i in 1:n1) { Sigma1[i, i] <- var1 + var2; for (j in (i+1):n1) { Sigma1[i, j] <- var1 * exp(-(x1[i]-x1[j])^2*bw1) * cos(twopi * fabs(x1[i] - x1[j]) * period1) + var2 * exp(-(x1…

gets added as well.