Implement log spectral density for squared exponential#2143
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elliottperryman wants to merge 1 commit intopyro-ppl:masterfrom
Open
Implement log spectral density for squared exponential#2143elliottperryman wants to merge 1 commit intopyro-ppl:masterfrom
elliottperryman wants to merge 1 commit intopyro-ppl:masterfrom
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Added a new function to compute the log spectral density for the squared exponential kernel,
Collaborator
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Hi! @elliottperryman Can you elaborate a bit more? (Do you have a reference or example?) |
fehiepsi
reviewed
Feb 27, 2026
| c3 = special.gamma(nu) | ||
| return c1 * c2 / c3 | ||
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| # def log_diag_spectral_density_squared_exponential( |
| e = jnp.exp(-0.5 * jnp.sum(w**2 * length**2, axis=-1)) | ||
| return c * e | ||
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| def log_spectral_density_squared_exponential( |
Author
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I have two points that may be of interest to users:
I can make a jupyter notebook demoing the differences if that helps. |
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Added a new function to compute the log spectral density for the squared exponential kernel.
I was using HSGP in my numpyro model and found that using the eigenvalues can be computed more stably using the log domain. Treating them in log-space is perfectly fine (alpha > 0 & length > 0 & other term is an exponential). I am not saying my implementation is the best code or something, but I would like to ask if this could be useful.