A Novel Approach to Forecasting Financial Volatility with Gaussian Process Envelopes.
Syed Ali Asad RizviStephen J. RobertsMichael A. OsborneFavour NyikosaPublished in: CoRR (2017)
Keyphrases
- gaussian process
- stock market
- exchange rate
- financial time series
- garch model
- stock price
- foreign exchange
- financial data
- financial markets
- short term
- gaussian processes
- regression model
- gaussian process regression
- bayesian framework
- semi supervised
- approximate inference
- model selection
- hyperparameters
- gaussian process classification
- non stationary
- expectation propagation
- latent variables
- gaussian process models
- sparse approximations
- covariance function
- bayesian inference
- forecasting model
- cross validation
- marginal likelihood
- training set