Gaussian process regression with measurement error

Abstract

Regression analysis that incorporates measurement errors in input variables is important in various applications. In this study, we consider this problem within a framework of Gaussian process regression. The proposed method can also be regarded as a generalization of kernel regression to include errors in regressors. A Markov chain Monte Carlo method is introduced, where the infinite-dimensionality of Gaussian process is dealt with a trick to exchange the order of sampling of the latent variable and the function. The proposed method is tested with artificial data. Copyright © 2010 The Institute of Electronics, Information and Communication Engineers.