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I am not so experienced to design a customized covariance matrix / kernel functions. I would like to get such a understanding that after looking at data, I can figure out the covariance matrix.

For example, in my case, I have a data set, $X$ that contains many zeros and couple of points far from them, close to hundred. $Y$ is like a normal distribution, $\mathcal{N}(50,10)$. $X$ and $Y$ are limited from $0$ to $100$.

So, I am try to regress $X$ on to $Y$, using the Gaussian process method. The difficulty arises from those many zeros that makes my covariance matrix messy. So, I have a large standard deviation for whole estimation.

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  • $\begingroup$ Cleared a bit; I hope you didn't meant some other GP method. $\endgroup$
    – user88
    May 12, 2011 at 23:38

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You have to choose the functional form of the covariance based on your prior knowledge of the smoothness of the data. Usual covariance functions are like $$w(x,y) = \tau^2\exp\left(-\frac{1}{2}\left(\frac{x-y}{\lambda}\right)^\alpha\right)$$ and it is very common to choose $\alpha=2$ because it leads to a continuous and differentiable function. If you choose $\alpha\le1$ the resulting function is continuous but not smooth. See MacKay, page 545 or the whole chapter.

For the other parameters ($\tau$,$\lambda$, and a noise term $\sigma$ if you add it) you have to optimize them to maximize the marginal likelihood. See Rasmussen and Williams chapter 4 which will help you to understand everything in more detail.

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I've not worked through the details of GPs, so I cannot help you there.

However, it seems like you have two groups of data in X: X=0 and X>0. You may get better results by first classifying X into these two groups based on Y, and then performing GP regression in the X>0 class.

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  • $\begingroup$ O yes, I was thinking same, sort of putting into a mixture model. But still, I am wondering how can I choose a proper covariance matrix and set its hyper-parameter. I am playing with a code, and changing parameter without having an idea is embarrassing ! $\endgroup$
    – Areza
    May 13, 2011 at 17:39

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