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  • $\begingroup$ Sorry to nitpick but could you please explain briefly in the answer how the predictive formula is obtained, as you did in the comments to the other answer, this will make the answer self contained and useful for anyone looking for it in the future. Great discussion of hyperparameter issues btw! Thanks :) $\endgroup$ Commented Dec 8, 2016 at 11:09
  • $\begingroup$ @EHH no problem, I added the bit you were referring to. $\endgroup$ Commented Dec 8, 2016 at 12:59
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    $\begingroup$ @DeltalV Awesome, this has really helped me clear some stuff up that I was wondering about! Thanks! $\endgroup$ Commented Dec 8, 2016 at 17:07
  • $\begingroup$ @Mathews24 that's another question and CV policy is one question per post. Search the site to see if such a question has already been asked, otherwise feel free to ask a new question yourself. $\endgroup$ Commented Nov 26, 2018 at 7:09
  • $\begingroup$ @DeltaIV You state "we are interested in the distribution of a new observation $y_∗$". I suppose it is context-dependent, but are there any general rules for when one is interested in $y_*$ versus $f_*$? What is the physical interpretation for $f_*$? For example, if $y$ correspond to measurements from a diagnostic with some error $\sigma$, would not being able to model $f_*$ actually give us the model for the underlying physical phenomenon? Why would we prefer $y_*$ in this instance? $\endgroup$ Commented May 20, 2019 at 21:36