Gaussian processes

[jgabry]

Not a short-term priority, but could be nice to have some (limited) functionality for GPs in future iterations of the package.

[bgoodri]

Yes, although that would entail writing a bunch of kernel functions, which would better be done in stan-dev/math.

[topepo]

There appears to be some canonical code in the stan docs.

It would be great to formalize this in rstanarm.

[dirmeier]

Hello, are you still planning to include GPs in the package? I currently have some time on my hands and would love to add some functionality, including some kernels to stan/math, in case you're interested.

Cheers,
Simon

[bgoodri]

It is a bit difficult to do GPs in a way that would work well for rstanarm users in general. I think we're more likely the approximate GPs like in brms. You can do an approximate GP currently with rstanarm::stan_gamm4 and s(..., bs = "gp"). But adding more GP kernels to stan/math would always be welcome, particularly if there is some family of priors for the hyperparameters that works well for that kernel.

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On Sat, Jun 6, 2020 at 4:49 PM Simon Dirmeier ***@***.***> wrote: Hello, are you still planning to include GPs in the package? I currently have some time on my hands and would love to add them, including some kernels to stan/math. Cheers, Simon — You are receiving this because you commented. Reply to this email directly, view it on GitHub <#13 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AAZ2XKUXTRVYTWWNGJJHEBDRVKTXFANCNFSM4BNJRXFA> .