Gaussian Process Conditional Copulas with Applications to Financial Time Series.
José Miguel Hernández-LobatoJames Robert LloydDaniel Hernández-LobatoPublished in: NIPS (2013)
Keyphrases
- gaussian process
- financial time series
- conditional distribution
- stock market
- gaussian processes
- regression model
- gaussian process regression
- financial data
- model selection
- stock price
- bayesian framework
- non stationary
- latent variables
- exchange rate
- hyperparameters
- multivariate time series
- semi supervised
- marginal distributions
- training data
- maximum a posteriori
- maximum likelihood