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dfm / araa-gps

Souce code for our ARA&A review of Gaussian process regression for astronomical time-series
MIT License
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Relation to Kalman filter? #27

Closed ericagol closed 2 years ago

ericagol commented 2 years ago

I'm still interested in the relation of GPs to Kalman filters (especially given that CARMA model computation involves a Kalman filter), which also seems related to the observation-planning aspect of GPs.

https://github.com/dfm/araa-gps/blob/a659c2ccdcbd30bacf6bb52e845f071ebae08a1f/src/tex/ms.tex#L1002

dfm commented 2 years ago

There is some literature that discusses these relationships, in particular showing an equivalence between Kalman filters and Cholesky factorization, but I'm not sure it's really suitable to discuss this in detail in this review. Definitely something for future research though!