I would suggest you have a look at http://www.gaussianprocess.org/gpml/chapters/ http://inverseprobability.com/talks/notes/gaussian-processes.html … by @lawrennd and http://gpss.cc/gpss19/program for some more recent stuff. Also https://distill.pub/2019/visual-exploration-gaussian-processes/ … if you learn visulally, but you’re a mathematician, thus I'm sure you'll prefer the other stuff.
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Finally, I've been using (probably badly and/or unprofessionally
) GPs for abt 7 years, so if I can be of help, feel free to ring me! - 1 more reply
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Writing about stuff to learn how it works, mostly in Rust.
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