Gaussian processes for time-series modelling 论文
2013Philosophical Transactions of the Royal Society A Mathematical Physical and Engineering Sciences引用 620
Gaussian Processes and Bayesian InferenceTarget Tracking and Data Fusion in Sensor NetworksTime Series Analysis and Forecasting
摘要
In this paper, we offer a gentle introduction to Gaussian processes for time-series data analysis. The conceptual framework of Bayesian modelling for time-series data is discussed and the foundations of Bayesian non-parametric modelling presented for Gaussian processes. We discuss how domain knowledge influences design of the Gaussian process models and provide case examples to highlight the approaches.