Beyond Marginal Uncertainty: How Accurately can Bayesian Regression Models Estimate Posterior Predictive Correlations?
AISTATS, pp. 2476-2484, 2021.
While uncertainty estimation is a well-studied topic in deep learning, most such work focuses on marginal uncertainty estimates, i.e. the predictive mean and variance at individual input locations. But it is often more useful to estimate predictive correlations between the function values at different input locations. In this paper, we ...More
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