Hi everyone, I’ve been fitting some Gaussian Process models using the Hilbert space approximation, adapting code from the tutorials by @avehtari here and here. I would like to fit a model which uses a Matérn 1/2 kernel, but I am not sure how to adapt the diagSPD_Matern32 function to the other Matér…

So, there are a couple of things going on here. The first component in the approximation is the spectral density, which I derived as: s(\omega) =\frac{2 \rho \alpha}{1+\rho^2 \omega^2} = \frac{2\alpha}{ \frac{1}{\rho}+\rho\omega^2} =\frac{2\alpha}{ \rho((\frac{1}{\rho})^2+\omega^2)}. The second co…

diagSPD for Matérn GP kernels other than 3/2

Modeling

js592 October 22, 2024, 5:36pm 2

See discussion here: Practical Hilbert space approximate Bayesian Gaussian processes for probabilistic programming - #5 by js592

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diagSPD for Matérn GP kernels other than 3/2

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