Covariance estimate using fitrgp

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George Lu 2022-5-15

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https://ww2.mathworks.cn/matlabcentral/answers/1719495-covariance-estimate-using-fitrgp

回答： Ayush Anand 2023-9-13

I understand that it's possible to obtain a 95% confidence interval using [ypred1,~,yint1] = predict(gprMdl1,x); but is it possible to directly obtain an estimate of covariance/uncertainty statistics over the evaluation points?

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Answer 1

Ayush Anand 2023-9-13

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https://ww2.mathworks.cn/matlabcentral/answers/1719495-covariance-estimate-using-fitrgp#answer_1309241

Hi George,

I understand you want to know if there is a way of directly obtaining an estimate of covariance over the evaluation points. Unfortunately, there is no function in MATLAB which computes this directly; you can use the predicted mean and the actual value at the evaluation points to compute the covariance/uncertainty according to the standard formula for computing variance.

I hope this helps!