How can I simulate a Gaussian Processes with a given covariance? Handy in GP regression, especially GP functional regression and spatial statistics.
Historical overview in Liu et al. (2019).
Lattice tricks
On lattices we can make some computational shortcuts. See GP simulation on lattices.
Basis tricks
TBD
Simulating from posterior GPs
Probably many tricks, but I know of pathwise GPs.
References
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