I want to add two kernels for my Gaussian Process, I am using GaussianProcesses.jl . Can somebody give me an example of adding two kernels for a GP.
The two kernels I am trying to add are:
Periodic + Noise
using GaussianProcesses using Random Random.seed!(20140430) # Training data n=10; #number of training points x = 2π * rand(n); #predictors y = sin.(x) + 0.05*randn(n); mZero = MeanZero() kern1 = Periodic(1.0, 1.0, 1.5, [1.5: 10]) kern2 = Noise(0.01) kern = kern1+k2 gp = GP(x,y,mZero, kern, 0)
Edit: I have figured out the issue: In kern1 = Periodic(1.0, 1.0, 1.5, [1.5: 10]), the parameters setup was wrong, however, can somebody help, for Periodic Kernel the parameters that I want to setup is:
ll::Real : length scale = 1.0,
lσ::Real = 1.0 and
lp::Real : periodicity parameter, for a range from 1.5 to 10.0