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Frequentist Consistency of Gaussian Process Regression

12/13/2019

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by Valeriy Avanesov, et al.

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Gaussian Process Regression is a well-known and widely used approach to a problem of non-parametric regression. In the current study we obtain a minimax-optimal rate of convergence of its predictive mean to the true underlying function. We provide results for both random and deterministic designs.

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