Intuitive Explanation of Non-stationary Gaussian Process Kernels

Non-stationary GPs have shown great potential in overcoming the shortcomings of stationary GPs. In this article, we have just touched the tip of the iceberg of a massive area of research. We believe that through this article, the reader can get good intuition about where the research in GP is heading towards and how the use of non-stationary kernels can improve the performance of supervised learning.