Besides the fact that The covariance is constructed using kernels. I am not sure if I am as clear on how MVN is much different from GP.
Best Answer
A Gaussian process is a generalization of the Gaussian probability distribution. Whereas a probability distribution describes random variables which are scalars or vectors (for multivariate distributions), a stochastic process governs the properties of functions. Leaving mathematical sophistication aside, one can loosely think of a function as a very long vector, each entry in the vector specifying the function value f (x) at a particular input x. It turns out, that although this idea is a little naı̈ve, it is surprisingly close what we need. Indeed, the question of how we deal computationally with these infinite dimensional objects has the most pleasant resolution imaginable: if you ask only for the properties of the function at a finite number of points, then inference in the Gaussian process will give you the same answer if you ignore the infinitely many other points, as if you would have taken them all into account! And these answers are consistent with answers to any other finite queries you may have. One of the main attractions of the Gaussian process framework is precisely that it unites a sophisticated and consistent view with computational tractability.
– C. E. Rasmussen & C. K. I. Williams, Gaussian Processes for Machine Learning, the MIT Press, 2006. (Emphasis is my own.)
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