Some pointer advice about the Gaussian process regression
Definition of a Gaussian Process from [1]
Gaussian processes are a simple and general class of models of functions. To be precise, a GP is any distribution over functions such that any finite set of function values f(x1), f(x2), . . . f(xN) have a joint Gaussian distribution (Rasmussen and Williams, 2006, chapter 2).
About the construction of the covariance matrix [2]
The covariance matrix is created by pairwise evaluation of the kernel function resulting in an N-dimensional distribution.[2]
Regression is used to find a function (line)that represents a set of data points as closely as possible [2]
Definition of a Gaussian Process from [3]
Gaussian processes (GP