Optimal Plug-in Gaussian Processes for Modeling Derivatives
用于导数建模的最优代入式高斯过程
Derivatives are a key nonparametric functional in wide-ranging applications where the rate of change of an unknown function is of interest. In the Bayesian paradigm, Gaussian processes (GPs) are routinely used as a flexible prior for unknown functions, and are arguably one of the most popular tools in many areas. However, little is known about the optimal modeling strategy and theoretical properties when using GPs for derivatives. In this article, we study a plug-in strategy…