# Covariance estimation for Gaussian processes

Estimating the thing that is always given to you by oracles in statistics homework assignments. The meat of Gaussian process regression. The inverse of

Estimating the covariance, precision, concentration matrices of things. Turns about to be a lot more involved than estimating means in various ways and at various times. Long story.

• $\mathcal{H}$-matrix methods.

Wishart priors.

## Parametric covariance models

For spatial statistics I am told I should look up Matérn covariance matrices for a parametric covariance field.

## Refs

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