Paper:
Non-Stationary Spectral Kernels
We propose non-stationary spectral kernels for Gaussian process regression by modelling the spectral density of a non-stationary kernel function as a mixture of input-dependent Gaussian process frequency density surfaces. We solve the generalised Fourier transform with such a model, and present a family of non-stationary and non-monotonic kernels that can learn input-dependent and potentially longrange, non-monotonic covariances between inputs. We derive efficient inference using model whitening and marginalized posterior, and show with case studies that these kernels are necessary when modelling even rather simple time series, image or geospatial data with non-stationary characteristics.

Review:
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This seems like very nice work and I hope you do keep exploring in your experiments.  I think your approach could be used to solve some quite exciting problems.
Some of the experiments are conflating aspects of the model (non-stationarity in particular) with what are likely engineering and implementation details, training differences (e.g. MAP), and initialization.  The treadplate pattern, for instance, is clearly mostly stationary. Some of these experiments should be modified or replaced with experiments more enlightening about your model, and less misleading about the alternatives.  It would also be valuable, in other experiments, to look at the the learned GP functions, to see what meaningful non-stationarity is being discovered.
Your paper is also very closely related to "Fast Kernel Learning for Multidimensional Pattern Extrapolation" (Wilson et. al, NIPS 2014), which has all the same real experiments, same approach to scalability, developed GPs specifically for this type of extrapolation, and generally laid the foundation for a lot of this work. This paper should be properly discussed in the text, in addition to [28] and [11], beyond swapping references.  Note also that the computational complexity results and extension to incomplete grids is introduced in this same Wilson et. al (2014) paper and not Flaxman et. al (2015), which simply makes use of these results.  Wilson & Nickisch (2015) generalize these methods from incomplete grids to arbitrary inputs.  Note also that a related proposal for non-stationarity is in Wilson (2014), PhD thesis, sections 4.4.2 - 4.5, involving input dependent mixtures of spectral mixture kernels.
Nonetheless, this is overall very nice work and I look forward to seeing continued experimentation.  I think it would make a good addition to NIPS.  I am happy to trust that the questions raised will be properly addressed in the final version.
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The authors propose non-stationary spectral mixture kernels, by (i) modelling the spectral density in the generalized Bochner's theorem with a Gaussian mixture, (ii) replacing the resulting RBF component with a Gibbs kernel, and (iii) modelling the weights, length-scales and frequencies with Gaussian processes.
Overall, the paper is nice. It is quite clearly written, well motivated, and technically solid. While interesting, the weakest part of the paper is the experiments and comparisons for texture extrapolation. A stronger experimental validation, clearly showing the benefit of non-stationarity, would greatly improve the paper; hopefully such changes could appear in a camera ready version.  The paper also should make explicit connections to references [28] and [11] clear earlier in the paper, and should cite and discuss "Fast Kernel Learning for Multidimensional Pattern Extrapolation", which has all of the same real experiments, and the same approach to scalability.  Detailed comments for improvement:
- I didn't find there was much of a visual improvement between the SM kernel and the GSM kernel results on the wood texture synthesis, and similar performance from the SM kernel as the GSM kernel could be achieved for extrapolating the treadplate pattern, with a better initialization. It looks like the SM result on treadplate got trapped in a bad local optima, which could happen as easily with the GSM kernel. E.g., in this particular treadplate example, the results seem more likely to be a fluke of initialization than due to profound methodological differences. The comparison on treadplate should be re-evaluated. The paper should also look at some harder non-stationary inpainting problems -- it looks like there is promise to solve some really challenging problems here. Also the advantage of a non-stationary approach for land surface temperature forecasting is not made too clear here -- how does the spectral mixture kernel compare?  
- While the methodology can be developed for non-grid data, it appears the implementation developed for this paper has a grid restriction, based on the descriptions, experiments, and the imputation used in the land-surface temperature data. Incidentally, from an implementation perspective it is not hard to alleviate the need for imputation with virtual grid points. The grid restriction of the approach implemented here should be made clear in the text of the paper.
- The logit transform for the frequency functions is very nice, but it should be clarified that the Nyquist approach here only applies to regularly sampled data. It would be easy to generalize this approach to non-grid data. It would strengthen the method overall to generalize the implementation to non-grid data and to consider a wider variety of problems. Then the rather general benefits of the approach could be realized much more easily, and the impact would be greater.
- I suspect it is quite hard to learn Gaussian processes for the length-scale functions, and also somewhat for the frequency functions. Do you have any comments on this?  It would be enlightening to visualize the Gaussian process posteriors on the mixture components so we can see what is learned for each problem and how the solutions differ from stationarity. One of the really promising aspects of your formulation is that the non-stationarity can be made very interpretable through these functions.
- Why not perform inference over the Gaussian processes?
- There should be more discussion of reference [11] on "Generalized spectral kernels", earlier in the paper; Kom Samo and Roberts also developed a non-stationary extension to the spectral mixture kernel leveraging the generalized Bochner's theorem. The difference here appears to be in using Gaussian processes for mixture components, the Gibbs kernel for the RBF part, and Kronecker for scalability. "Fast kernel learning for multidimensional pattern extrapolation" [*] should also be referenced and discussed, since it proposes a multidimensional spectral mixture product kernel in combination with Kronecker inference, and develops the approach for texture extrapolation and land surface temperature forecasting, using the same datasets in this paper. Generally, the connection to [28] should also be made clear much earlier in the paper, and section 4 should appear earlier.  Moreover, the results in [*] "Fast Kernel Learning for Multidimensional Pattern Extrapolation", which have exactly the same real experiments, indicate that some of the results presented in your paper are from a bad initialization rather than a key methodological difference.  This needs to be remedied and there need to be more new experiments.
- Minor: "the non-masked regions in Figure 3a and 3f" in 5.2 is meant to refer to Figure 4.