Related papers: Deep Kernel Gaussian Process Based Financial Marke…

While much research effort has been dedicated to scaling up sparse Gaussian process (GP) models based on inducing variables for big data, little attention is afforded to the other less explored class of low-rank GP approximations that…

Gaussian processes (GPs) are used to make medical and scientific decisions, including in cardiac care and monitoring of atmospheric carbon dioxide levels. Notably, the choice of GP kernel is often somewhat arbitrary. In particular,…

We propose a new approach to volatility modeling by combining deep learning (LSTM) and realized volatility measures. This LSTM-enhanced realized GARCH framework incorporates and distills modeling advances from financial econometrics, high…

Gaussian processes (GPs) are Bayesian nonparametric models for function approximation with principled predictive uncertainty estimates. Deep Gaussian processes (DGPs) are multilayer generalizations of GPs that can represent complex marginal…

Deep Gaussian processes (DGPs) are multi-layer hierarchical generalisations of Gaussian processes (GPs) and are formally equivalent to neural networks with multiple, infinitely wide hidden layers. DGPs are nonparametric probabilistic models…

Deep kernel learning refers to a Gaussian process that incorporates neural networks to improve the modelling of complex functions. We present a method that makes this approach feasible for problems where the data consists of line integral…

This paper presents a novel hybrid model that integrates long-short-term memory (LSTM) networks and Graph Neural Networks (GNNs) to significantly enhance the accuracy of stock market predictions. The LSTM component adeptly captures temporal…

Accurate time series forecasting is crucial for optimizing resource allocation, industrial production, and urban management, particularly with the growth of cyber-physical and IoT systems. However, limited training sample availability in…

Gaussian processes (GPs) are Bayesian non-parametric models popular in a variety of applications due to their accuracy and native uncertainty quantification (UQ). Tuning GP hyperparameters is critical to ensure the validity of prediction…

Gaussian Processes (GP) are widely used for probabilistic modeling and inference for nonparametric regression. However, their computational complexity scales cubicly with the sample size rendering them unfeasible for large data sets. To…

Deep kernel learning (DKL) leverages the connection between Gaussian process (GP) and neural networks (NN) to build an end-to-end, hybrid model. It combines the capability of NN to learn rich representations under massive data and the…

Neural-net-induced Gaussian process (NNGP) regression inherits both the high expressivity of deep neural networks (deep NNs) as well as the uncertainty quantification property of Gaussian processes (GPs). We generalize the current NNGP to…

Gaussian processes (GPs) are widely used in nonparametric regression, classification and spatio-temporal modeling, motivated in part by a rich literature on theoretical properties. However, a well known drawback of GPs that limits their use…

This study introduces an innovative Gaussian Process (GP) model utilizing an ensemble kernel that integrates Radial Basis Function (RBF), Rational Quadratic, and Mat\'ern kernels for product sales forecasting. By applying Bayesian…

Transformed Gaussian Processes (TGPs) are stochastic processes specified by transforming samples from the joint distribution from a prior process (typically a GP) using an invertible transformation; increasing the flexibility of the base…

We present a framework for transfer learning based on modular variational Gaussian processes (GP). We develop a module-based method that having a dictionary of well fitted GPs, one could build ensemble GP models without revisiting any data.…

We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic information. Our ensemble learning approach significantly reduces the…

In this work, we introduce a spatio-temporal kernel for Gaussian process (GP) regression-based sound field estimation. Notably, GPs have the attractive property that the sound field is a linear function of the measurements, allowing the…

Variable selection in Gaussian processes (GPs) is typically undertaken by thresholding the inverse lengthscales of automatic relevance determination kernels, but in high-dimensional datasets this approach can be unreliable. A more…

Wireless traffic prediction is a fundamental enabler to proactive network optimisation in beyond 5G. Forecasting extreme demand spikes and troughs due to traffic mobility is essential to avoiding outages and improving energy efficiency.…