Gaussian processes

Assumed audience:

ML people

“Gaussian Processes” are stochastic processes/fields with jointly Gaussian distributions of over all finite sets of observation locations. The most familiar of these to finance and physics people is the Gauss-Markov process, a.k.a. the Wiener process, but there are many others. These processes are convenient due to certain useful properties of the multivariate Gaussian distribution e.g. being uniquely specified by first and second moments, nice behaviour under various linear operations, kernel tricks…. Especially famous applications include Gaussian process regression and spatial statistics. Check out Ti’s Interactive visualization for some examples.

Gauss, with what I believe is possibly the telegraph he invented. That is not the Gaussian process I mean here — Gauss, after all did not invent that — I just think it is cool.

Gaussian processes are, specifically, probabilistic distributions over random functions \(\mathcal{T}\to \mathbb{C}\) for some index (or argument) set \(\mathcal{T}\) often taken to be \(\mathcal{T}:=\mathbb{R}^d\).

We typically work with a mean-zero process, in which case for every finite set \(\mathbf{f}:=\{f(t_k);k=1,\dots,K\}\) of observations of that process, the joint distribution is mean-zero Gaussian, \[\begin{aligned} \mathbf{f}(t) &\sim \operatorname{GP}\left(0, \kappa(t, t';\mathbf{\theta})\right) \\ &\Rightarrow\\ p(\mathbf{f}) &=(2\pi )^{-{\frac {K}{2}}}\det({\boldsymbol {\mathrm{K} }})^{-{\frac {1}{2}}}\,e^{-{\frac {1}{2}}\mathbf {f}^{\!{\mathsf {T}}}{\boldsymbol {\mathrm{K} }}^{-1}\mathbf {f}}\\ &=\mathcal{N}(\mathbf{f};0, \mathrm{K}). \end{aligned}\] where \(\mathrm{K}\) is the sample covariance matrix defined such that its entries are given by \(\mathrm{K}_{jk}=\kappa(t_j,t_k).\) That is, this is the covariance kernel that maps from function argument\(t\) — to second moment of function values. In this case, we are specifying only the second moments and this gives all the remaining properties of the process.


See GP simulation.

Derivatives and integrals

Integral of a Gaussian process

See stackexchange.

Derivative of a Gaussian process


For now, see these blog posts:

I am using results from Adler (2010), Adler and Taylor (2007). See also pathwise GPs for some useful results here.


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Adler, Robert J., and Jonathan E. Taylor. 2007. Random Fields and Geometry. Springer Monographs in Mathematics 115. New York: Springer.
Agrell, Christian. n.d. “Gaussian Processes with Linear Operator Inequality Constraints,” 36.
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Kanagawa, Motonobu, and Kenji Fukumizu. 2014. Recovering Distributions from Gaussian RKHS Embeddings. In Journal of Machine Learning Research.
Kanagawa, Motonobu, Philipp Hennig, Dino Sejdinovic, and Bharath K. Sriperumbudur. 2018. Gaussian Processes and Kernel Methods: A Review on Connections and Equivalences.” arXiv:1807.02582 [Cs, Stat], July.
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Zhang, Yufeng, Wanwei Liu, Zhenbang Chen, Ji Wang, and Kenli Li. 2022. On the Properties of Kullback-Leibler Divergence Between Multivariate Gaussian Distributions.” arXiv.

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