Posterior contraction in Gaussian process regression using Wasserstein approximations (1502.02336v2)

Abstract: We study posterior rates of contraction in Gaussian process regression with unbounded covariate domain. Our argument relies on developing a Gaussian approximation to the posterior of the leading coefficients of a Karhunen--Lo\'{e}ve expansion of the Gaussian process. The salient feature of our result is deriving such an approximation in the $L^2$ Wasserstein distance and relating the speed of the approximation to the posterior contraction rate using a coupling argument. Specific illustrations are provided for the Gaussian or squared-exponential covariance kernel.