Stochastic process priors have, compared to priors over parameters , the advantage of implementing a priori knowledge explicitly in terms of the function values . Gaussian processes, in particular, always correspond to simple quadratic error surfaces, i.e., concave densities. Being technically very convenient, this is, on the other hand, a strong restriction. Arbitrary prior processes, however, can easily be built by using mixtures of Gaussian processes without loosing the advantage of an explicit prior implementation [32,33,63,67]. (We want to point out that using a mixture of Gaussian process priors does not restrict to a mixture of Gaussians.)
A mixture of Gaussian processes
with component means and
inverse component covariances
reads