Feature request

Enable modelling heteroskedastic noise in a GPR setting

Motivation

Significant gains in performance were found across regression tasks when introducing a linear noise kernel (see Fig 1 of https://arxiv.org/abs/2106.08185).

Proposal

Describe the solution you would like

The option for a GPR model to include an input-dependent noise term.

What alternatives have you considered?
A direct implementation of the linear noise kernel.

Are you willing to open a pull request? (We really appreciate contributions!)
Yes