Abstract
Gaussian process regression (GPR) has been shown to be a powerful and effective non- parametric method for regression, classification and interpolation, due to many of its desirable properties. However, most GPR models consider univariate or multivariate covariates only. In this paper we extend the GPR models to cases where the covariates include both functional and multivariate variables and the response is multidimen- sional. The model naturally incorporates two different types of covariates: multivari- ate and functional, and the principal component analysis is used to de-correlate the multivariate response which avoids the widely recognised difficulty in the multi-output GPR models of formulating covariance functions which have to describe the correla- tions not only between data points but also between responses. The usefulness of the proposed method is demonstrated through a simulated example and two real data sets in chemometrics.