Bayesian autoregression to optimize temporal Matérn kernel Gaussian process hyperparameters

Abstract: Gaussian processes are important models in the field of probabilistic numerics. We present a procedure for optimizing Mat\'ern kernel temporal Gaussian processes with respect to the kernel covariance function's hyperparameters. It is based on casting the optimization problem as a recursive Bayesian estimation procedure for the parameters of an autoregressive model. We demonstrate that the proposed procedure outperforms maximizing the marginal likelihood as well as Hamiltonian Monte Carlo sampling, both in terms of runtime and ultimate root mean square error in Gaussian process regression.