Add HSGP Latent GP approximation (#6458)

* add HSGP implementation
* Extend Covariances to support power spectral densities

---------

Co-authored-by: Michael Osthege <[email protected]>

Author: bwengals

.github/workflows/tests.yml

@@ -76,6 +76,7 @@ jobs:
           - |
             tests/distributions/test_timeseries.py
             tests/gp/test_cov.py
+            tests/gp/test_hsgp_approx.py
             tests/gp/test_gp.py
             tests/gp/test_mean.py
             tests/gp/test_util.py

docs/source/api/gp/implementations.rst

@@ -6,6 +6,7 @@ Implementations
 .. autosummary::
    :toctree: generated
 
+   HSGP
    Latent
    LatentKron
    Marginal

pymc/gp/__init__.py

@@ -22,3 +22,4 @@
     MarginalKron,
     MarginalSparse,
 )
+from pymc.gp.hsgp_approx import HSGP