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Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes.
Gregory W. Benton
Wesley J. Maddox
Andrew Gordon Wilson
Published in:
CoRR (2022)
Keyphrases
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gaussian processes
moving average
arma model
exponential smoothing
arima model
gaussian process
autoregressive
exchange rate
covariance function
gaussian process regression
financial time series
turning points
gaussian process models
multi task
short term
stock price
stock market
pairwise
feature vectors