Gaussian process for nonstationary time series prediction

DOI10.1016/J.CSDA.2004.02.006MaRDI QIDQ957047zbMATH OpenOpenAlexFDO

Authors Sofiane Brahim-Belhouari, Amine Bermak

Publication date 26 November 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2004.02.006

zbMATH Keywords

Gaussian processestime seriesBayesian learningprediction theory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• Bayesian learning for neural networks

Cited in

(23)

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• Gauss process based approach for application on landslide displacement analysis and prediction
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• Physics information aided kriging using stochastic simulation models
• Skew Gaussian process for nonlinear regression
• Harmonic recurrent process for time series forecasting
• A stochastic variational framework for recurrent Gaussian processes models
• Gaussian processes for history-matching: application to an unconventional gas reservoir
• Slepian models for non-stationary Gaussian processes
• An extension of Bayesian algorithm into gaussian processes for predicting sensor network
• Switching and Learning in Feedback Systems
• High-dimensional Gaussian sampling: a review and a unifying approach based on a stochastic proximal point algorithm
• Multi-period classification: learning sequent classes from temporal domains

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