I am doing a course at university and it deals with Gaussian Processes mainly. We use them for fitting data and prediction, machine learning, regression, classification. Is there any particular reason why Gaussian Processes stand out from the millions other random processes you could have?


I suppose that's a bit like asking does the Normal distribution stand out from the million other distributions you can have but...There is a website <http://www.gaussianprocess.org/> for the ones interested.



Are Gaussian Processes more important than other stochastic processes?
Gaussian processes are much easier to analyze, so are useful to produce a first approximation to reality. A frequent mistake (see, eg, recent derivative mispricing debacles) is to confuse first approximation for the truth.


