Prediction Performance After Learning in Gaussian Process Regression


Johan Wagberg, Dave Zachariah, Thomas Schon, Petre Stoica ;
Proceedings of the 20th International Conference on Artificial Intelligence and Statistics, PMLR 54:1264-1272, 2017.


This paper considers the quantification of the prediction performance in Gaussian process regression. The standard approach is to base the prediction error bars on the theoretical predictive variance, which is a lower bound on the mean square-error (MSE). This approach, however, does not take into account that the statistical model is learned from the data. We show that this omission leads to a systematic underestimation of the prediction errors. Starting from a generalization of the Cramér-Rao bound, we derive a more accurate MSE bound which provides a measure of uncertainty for prediction of Gaussian processes. The improved bound is easily computed and we illustrate it using synthetic and real data examples.

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