Financial time series volatility analysis using Gaussian process state-space models.
Jianan HanXiao-Ping ZhangPublished in: GlobalSIP (2015)
Keyphrases
- gaussian process
- financial time series
- state space
- gaussian processes
- stock price
- bayesian framework
- model selection
- gaussian process models
- covariance function
- gaussian process regression
- stock market
- historical data
- financial data
- turning points
- non stationary
- probabilistic model
- latent variables
- parameter estimation
- semi supervised
- probability distribution
- data analysis
- reinforcement learning
- learning algorithm