diff --git a/GPy/models/gp_heteroscedastic_regression.py b/GPy/models/gp_heteroscedastic_regression.py
index 2fe3b788..63c6352a 100644
--- a/GPy/models/gp_heteroscedastic_regression.py
+++ b/GPy/models/gp_heteroscedastic_regression.py
@@ -16,6 +16,8 @@ class GPHeteroscedasticRegression(GP):
     :param X: input observations
     :param Y: observed values
     :param kernel: a GPy kernel, defaults to rbf
+
+    NB: This model does not make inference on the noise outside the training set
     """
     def __init__(self, X, Y, kernel=None, Y_metadata=None):