Laplace approximation with Gaussian Processes for volatility forecasting.
Luis Munoz-GonzalezMiguel Lázaro-GredillaAníbal R. Figueiras-VidalPublished in: CIP (2014)
Keyphrases
- gaussian processes
- gaussian process
- expectation propagation
- covariance function
- exchange rate
- garch model
- gaussian process regression
- multi task learning
- bayesian methods
- approximate inference
- hyperparameters
- gaussian process models
- stock market
- stock price
- closed form
- model selection
- human pose estimation
- cross validation
- preference learning
- latent variables
- multi task
- semi supervised
- bayesian inference
- bayesian framework
- machine learning algorithms