Semiparametric Latent Factor Models
We propose a semiparametric model for regression and classification problems involving multiple response variables. The model makes use of a set of Gaussian processes to model the relationship to the inputs in a nonparametric fashion. Conditional dependencies between the responses can be captured through a linear mixture of the driving processes. This feature becomes important if some of the responses of predictive interest are less densely supplied by observed data than related auxiliary ones. We propose an efficient approximate inference scheme for this semiparametric model whose complexity is linear in the number of training data points.