You need to install celerite to run the benchmark.
To install only locally, follow the following instructions.
Download celerite
git clone https://github.com/dfm/celerite.git
Install C++ headers
cd celerite/cpp
cmake .
make
Now, back in the gpstate directory, edit Makefile so that INCLUDES point to celerite.
Installing is as simple as
make
Run benchmarks
./benchmark
./benchmark_ndsho