Gaussian process imputation of multiple financial series.
Taco de WolffAlejandro CuevasFelipe A. TobarPublished in: CoRR (2020)
Keyphrases
- gaussian process
- gaussian processes
- gaussian process models
- regression model
- approximate inference
- bayesian framework
- model selection
- gaussian process regression
- dynamical model
- covariance function
- gaussian process classification
- hyperparameters
- sparse approximations
- marginal likelihood
- missing values
- non stationary
- supervised learning