Defining gaussian process covariance matrix with N time points

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Anthony Lang 2021-12-4

编辑： the cyclist 2021-12-4

Hey everyone ,

I have these assumptions :

1. The covariance function of a gaussian process is defined as :

( a = 10 , v = 2 )

2. the mean function is 0.

3. t is in [ -5 , 5 ].

4. I have 200 time points per process (N = 200).

And here is what I am looking for :

How can I define the covariance matrix in matlab with these inputs so I can get the 200x200 (process points) covariance matrix ?

Thanks in advance.

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R2020b

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