Arithmetic between GPs

[jtrakk]

I have two AbstractGPs.FiniteGP instances fit with Optim. I want to know the difference between their predictions. One way to do this is to make predictions from each and take the difference. I think it is also possible to take the difference between the two FiniteGPs to get a new FiniteGP, and use that to make a prediction of the difference at an input point?

If so, does it make sense to add that feature to AbstractGPs.jl ?

[willtebbutt]

Have you seen Stheno.jl at all? It implements these kinds of operations between GPs.