$\newcommand{\R}{\mathbb R}$$\newcommand{\y}{\mathbf y}$$\newcommand{\thb}{\tilde{\hat\beta}}$$\newcommand{\L}{\Lambda}$$\newcommand{\tr}{\operatorname{tr}}$In this post I’ll look at updating a linear regression with new data. One place where this can…
$\newcommand{\R}{\mathbb R}$$\newcommand{\e}{\varepsilon}$$\newcommand{\H}{\mathcal H}$$\newcommand{\0}{\mathbf 0}$In this post I’m going to prove that the squared exponential kernel is positive definite. I’ll finish…
$\newcommand{\F}{\mathscr F}$$\newcommand{\R}{\mathbb R}$$\newcommand{\A}{\mathscr A}$$\newcommand{\G}{\mathcal G}$$\newcommand{\E}{\operatorname E}$$\newcommand{\dp}{\,\text dP}$$\newcommand{\1}{\mathbf 1}$Let $(\Omega, \F, P)$ be a probability space and let $X : \Omega…