  We introduce a new family of non-linear neural network activation functions
that mimic the properties induced by the widely-used Mat\'ern family of kernels
in Gaussian process (GP) models. This class spans a range of locally stationary
models of various degrees of mean-square differentiability. We show an explicit
link to the corresponding GP models in the case that the network consists of
one infinitely wide hidden layer. In the limit of infinite smoothness the
Mat\'ern family results in the RBF kernel, and in this case we recover RBF
activations. Mat\'ern activation functions result in similar appealing
properties to their counterparts in GP models, and we demonstrate that the
local stationarity property together with limited mean-square differentiability
shows both good performance and uncertainty calibration in Bayesian deep
learning tasks. In particular, local stationarity helps calibrate
out-of-distribution (OOD) uncertainty. We demonstrate these properties on
classification and regression benchmarks and a radar emitter classification
task.

Machine Learning