Paper K. Recursive Gaussian Process: On-line Regression and Learning. Edited version of the paper: M. F. Huber. Recursive Gaussian Process: On-line Regression and Learning. Pattern Recognition Letters, vol. 45, pages 85-91, August 2014

Two approaches for on-line Gaussian process regression with low computational and memory demands are proposed. The first approach assumes known hyperparameters and performs regression on a set of basis vectors that stores mean and covariance estimates of the latent function. The second approach additionally learns the hyperparameters on-line. For this purpose, techniques fromnonlinear Gaussian state estimation are exploited. The proposed approaches are compared to state-of-the-art sparse Gaussian process algorithms.