Moderate deviations inequalities for Gaussian process regression

Abstract

Gaussian process regression is widely used to model an unknown function on a continuous domain by interpolating a discrete set of observed design points. We develop a theoretical framework for proving new moderate deviations inequalities on different types of error probabilities that arise in GP regression. Two specific examples of broad interest are the probability of falsely ordering pairs of points (incorrectly estimating one point as being better than another) and the tail probability of the estimation error at an arbitrary point. Our inequalities connect these probabilities to the mesh norm, which measures how well the design points fill the space.