Defining a Gaussian process can be thought of as providing a way to create arbitrary Multivariate Guassian Distributions (aka Multivariate Normal Distributions). The steps to fit and predict with a Gaussian process can then be thought of mostly as manipulations of Multivariate Gaussians. Here we provide a brief overview of some manipulations.
Starting with a univariate Gaussian,
\mathbf{z} \sim \mathcal{N}\left(0, 1\right)
we can add a scalar,
\mathbf{z} + a \sim \mathcal{N}\left(a, 1\right)
multiply by a scalar,
a \mathbf{z} \sim \mathcal{N}\left(0, a^2\right)
or add two distributions,
\mathcal{N}\left(m_a, \sigma_a^2\right) + \mathcal{N}\left(m_b, \sigma_b^2\right) = \mathcal{N}\left(m_a + m_b, \sigma_a^2 + \sigma_b^2\right).
Similar operations exist for multivariate Gaussian distributions, we can add a vector, \mu \in \mathcal{R}^n
\mathcal{N}\left(0, I_{nn}\right) + \mu = \mathcal{N}\left(\mu, I\right)
multiply by a matrix, A \in \mathbb{R}^{m, n}
A \mathcal{N}\left(0, I\right) = \mathcal{N}\left(0, A A^T\right)
add two distributions,
\mathcal{N}\left(\mu_a, \Sigma_a\right) + \mathcal{N}\left(\mu_b, \Sigma_b\right) = \mathcal{N}\left(\mu_a + \mu_b, \Sigma_a + \Sigma_b\right)
Adding and multiplying distributions can be useful, but the most important operation for Gaussian processes is the conditional distribution. Start by splitting a multivariate Gaussian distribution into two variables,
\label{eq:ab_prior} \left[\begin{array}{c} \mathbf{a} \\ \mathbf{b} \end{array}\right] \sim \mathcal{N}\left( \begin{bmatrix} \mu_a \\ \mu_b \end{bmatrix}, \left[ \begin{bmatrix} \Sigma_{aa} & \Sigma_{ab} \\ \Sigma_{ba} & \Sigma_{bb} \end{bmatrix}\right]\right)
notice that the two random variables, \mathbf{a} and \mathbf{b}, are correlated with each other. The conditional distribution, \mathbf{a} |b, gives us the distribution of \mathbf{a} if we knew the value of \mathbf{b} = b,
\mathbf{a} |b \sim \mathcal{N}\left(\mu_a + \Sigma_{ab} \Sigma_{bb}^{-1}\left(b - \mu_b\right) \hspace{0.1cm}, \hspace{0.1cm} \Sigma_{aa} - \Sigma_{ab} \Sigma_{bb}^{-1} \Sigma_{ba} \right)
Here we’ve started with a joint prior distribution of \mathbf{a} and \mathbf{b} and found the posterior distribution, \mathbf{a}|b, of \mathbf{a} given \mathbf{b} = b. These identities and more can be found in the The Matrix Cookbook which is an extremely valuable resource for linear algebra in general.