More specifically, in the picture bellow, (taken from https://youtu.be/92-98SYOdlY?t=869 ) why is the 3rd point (estimated) located above the 2nd point (fixed)? I would expect it to be slightly below, as it is very correlated with point 2 and a bit correlated with point 1 (the covariance matrix is the plot on the bottom left)
After running some simulations, I now see that this is an intrinsic property of the "Squared Exponential Kernel" used. It is also dependent on the "length scale" parameter, as expected. This is enough to let me move on, and perhaps to other readers as well, as the mathematical proof must be more complicated...