Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes.
Gregory W. BentonWesley J. MaddoxAndrew Gordon WilsonPublished in: ICML (2022)
Keyphrases
- gaussian processes
- moving average
- exponential smoothing
- arma model
- covariance function
- arima model
- gaussian process
- exchange rate
- autoregressive
- gaussian process regression
- financial time series
- turning points
- short term
- gaussian process models
- image processing
- stock price
- forecasting model
- learning algorithm
- higher order
- pairwise
- least squares
- hyperparameters
- multi task
- kernel function