search

STOR-i / GaussianProcesses.jl

A Julia package for Gaussian Processes
https://stor-i.github.io/GaussianProcesses.jl/latest/
Other
308 stars 53 forks source link

leave-one-out cross-validation #105

Closed maximerischard closed 5 years ago

maximerischard commented 5 years ago

We should implement analytical results for leave-one-out cross-validation with GPs (Rasmussen&Williams equations section 5.3), and eventually provide an interface to optimize hyperparameters based on the LOO-CV criterion.