Shannon sampling theorem: Gaussian process version (2)

Antonio Sala, UPV

Difficulty: **** ,       Relevance: ,      Duration: 18:59

Summary:

This video delves into the detailed Gaussian process regression formula for the band-limited stochastic process we introduced in video [shannonGPEN]. That GP regression formula coincides with the ‘sinc’ reconstruction in signal processing; the sampling theorem is proved by checking that the ‘residual’ variance of the posterior conditional distribution tends to zero as the number of past and future samples tends to infinity. Numerical simulations and confidence interval plots illustrate the results.

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