Fast Direct Methods for Gaussian Processes.

A number of problems in probability and statistics can be addressed using the multivariate normal (Gaussian) distribution. In the one-dimensional case, computing the probability for a given mean and variance simply requires the evaluation of the corresponding Gaussian density. In the n-dimensional setting, however, it requires the inversion of an n ×n covariance matrix, C, as well as the evaluation of its determinant, det(C).