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Gaussian processes for time-series modelling.

Abstract:
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.
Publication status:
Published

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Publisher copy:
10.1098/rsta.2011.0550

Authors


Roberts, S More by this author
Osborne, M More by this author
More by this author
Institution:
University of Oxford
Department:
Oxford, MPLS, Engineering Science
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Journal:
Philosophical transactions. Series A, Mathematical, physical, and engineering sciences
Volume:
371
Issue:
1984
Pages:
20110550
Publication date:
2013-02-05
DOI:
EISSN:
1471-2962
ISSN:
1364-503X
URN:
uuid:4b56aac1-b429-44de-91d0-07ce73c5f43a
Source identifiers:
319087
Local pid:
pubs:319087

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