Locally Adaptive Bayes Nonparametric Regression via Nested Gaussian Processes
Locally Adaptive Bayes Nonparametric Regression via Nested Gaussian Processes
We propose a nested Gaussian process (nGP) as a locally adaptive prior for Bayesian nonparametric regression. Specified through a set of stochastic differential equations (SDEs), the nGP imposes a Gaussian process prior for the function's mth-order derivative. The nesting comes in through including a local instantaneous mean function, which is …