We are interested in transferring control policies for arbitrary tasks from a human to a robot. Using interactive demonstration via teleoperation as our transfer scenario, we cast learning as statistical regression over sensor-actuator data pairs. Our desire for interactive learning necessitates algorithms that are incremental and realtime. We examine locally weighted projection regression, a popular robotic learning algorithm, and sparse online Gaussian processes in this domain on one synthetic and several robot-generated data sets. We evaluate each algorithm in terms of function approximation, learned task performance, and scalability to large data sets.