TemporalGPs.jl
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More Stationary GPs
There are a number of kernels in Arno's textbook that we have yet to implement, found in-and-around p260.
Specifically:
- [ ] Matern for half-integer powers greater than
5 / 2. i.e.7 / 2,9 / 2, etc - [ ] Squared exponential. This is approximated via a high-order Matern, so it's probably a good idea to implement the higher-order Matern kernels first.
- [ ] Rational Quadratic. These are approximated in terms of Squared exponential kernels.
- [ ] Periodic. They only consider the squared exponential periodic kernel in the textbook -- I wonder if there's a was to do it for arbitrary kernels, in the same way that it can be done usually by mapping the domain onto the circle?
- [ ] Noise
A good reference PR is #58 (thanks to @andreaskoher for that)