AR1 as a kernel function?

[jae0]

Hi,
I am trying to understand how to express the AR1 process as a GP using KernelFunction.jl. I am sadly out of my depth (read: thought I understood but apparently not) and would appreciate any guidance/help.

Specifically, the model is B1 of Rasmussen and Williams 2006 (p207):

X_t =∑^{p}{k=1} a_k X{t−k} + b_0 Z_t

with Z_t ~ N(0,1)
and X_t is a discrete stochastic process.

[jae0]

Ah, never mind, I see they goes on to show that it is the Ornstein-Uhlenbeck (OU) process (eq. B.29; p212). Sorry for the trouble.