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The NumPy version in setup_requires should be the oldest supported NumPy version. This way GPy is compiled with that oldest version and you can then use any newer version, as they are ABI compatible.
For that you can specify oldest-supported-numpy as a build dependency in setup_requires instead of numpy, as explained here: https://numpy.org/devdocs/user/depending_on_numpy.html?highlight=mean#build-time-dependency.
The problem if you don't do that is that, if you install GPy along with any other package (such as numba) which cannot use the latest NumPy version, in an environment without NumPy, then GPy will be compiled against the latest NumPy version and THEN the NumPy version will be downgraded, giving the following error on import:
import GPy
File "/home/carlos/Programas/Utilidades/Lenguajes/miniconda3/envs/test_numba/lib/python3.8/site-packages/GPy/__init__.py", line 6, in <module>
from . import core
File "/home/carlos/Programas/Utilidades/Lenguajes/miniconda3/envs/test_numba/lib/python3.8/site-packages/GPy/core/__init__.py", line 49, in <module>
from .gp import GP
File "/home/carlos/Programas/Utilidades/Lenguajes/miniconda3/envs/test_numba/lib/python3.8/site-packages/GPy/core/gp.py", line 8, in <module>
from .. import likelihoods
File "/home/carlos/Programas/Utilidades/Lenguajes/miniconda3/envs/test_numba/lib/python3.8/site-packages/GPy/likelihoods/__init__.py", line 25, in <module>
from .bernoulli import Bernoulli
File "/home/carlos/Programas/Utilidades/Lenguajes/miniconda3/envs/test_numba/lib/python3.8/site-packages/GPy/likelihoods/bernoulli.py", line 5, in <module>
from ..util.univariate_Gaussian import std_norm_pdf, std_norm_cdf, derivLogCdfNormal, logCdfNormal
File "/home/carlos/Programas/Utilidades/Lenguajes/miniconda3/envs/test_numba/lib/python3.8/site-packages/GPy/util/__init__.py", line 11, in <module>
from . import linalg
File "/home/carlos/Programas/Utilidades/Lenguajes/miniconda3/envs/test_numba/lib/python3.8/site-packages/GPy/util/linalg.py", line 15, in <module>
from . import linalg_cython
File "GPy/util/linalg_cython.pyx", line 1, in init GPy.util.linalg_cython
ValueError: numpy.ndarray size changed, may indicate binary incompatibility. Expected 96 from C header, got 80 from PyObject
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