Gaussian processes for time-series modelling

2013611 citationsJournal Articlebronze Open Access

Authors

Stephen Roberts · University of Oxford

Michael A. Osborne · University of Oxford

Mark Ebden · University of Oxford

Steven Reece · University of Oxford

Neale P. Gibson · University of Oxford

S. Aigrain · University of Oxford

Abstract

In this paper, we offer a gentle introduction to Gaussian processes for time-series data analysis. The conceptual framework of Bayesian modelling for time-series data is discussed and the foundations of Bayesian non-parametric modelling presented for Gaussian processes. We discuss how domain knowledge influences design of the Gaussian process models and provide case examples to highlight the approaches.

Topics & Keywords

Gaussian Processes and Bayesian Inference Target Tracking and Data Fusion in Sensor Networks Time Series Analysis and Forecasting

Publication Details

Published in: Philosophical Transactions of the Royal Society A Mathematical Physical and Engineering Sciences

Volume 371, Issue 1984, pp. 20110550-20110550

DOI: 10.1098/rsta.2011.0550

Field-Weighted Citation Impact: 27.90

Command Palette

Gaussian processes for time-series modelling

Authors

Abstract

Topics & Keywords

Publication Details