I am currently running a Hierarchical Gaussian Process to regularize a linear model. A Kruscke diagram:
But, I am running into computational constraints with a full GP and am looking into ways to approximate the full GP(I do not have Kronecker structure and inducing points don’t make sense for my problem.). I came across NNGP and this github attempt at recreating in pymc.
@bwengals has NNGP been implemented in pymc3?