Robust Prediction Variance Estimation for Gaussian Process Regression Under Covariance Smoothness Misspecification
Abstract: Best Linear Unbiased Prediction (BLUP) has been a dominant approach in Generalized Linear Mixed Models, spatial models, and Gaussian Process Regression (GPR). In addition to their optimal properties, BLUP procedures quantify prediction uncertainty. However, the general implementation of BLUP goes as follows: (i) assume the probability distribution and covariance function are known and that…










