[PyMCon Web Series 02] An introduction to multi-output Gaussian processes using PyMC (Feb 21, 2023) (Danh Phan)

I think my solution is lurking in this slide somewhere:

image

Can we modify \sigma^2 to vary with location of x_i and not be fixed? And maybe allow correlations between y_{1j} and y_{2j} instead of the 0s on off-diagonal blocks?