Related papers: Dynamic Term Structure Models with Nonlinearities …
This paper presents a new approach to automatically discovering accurate models of complex time series data. Working within a Bayesian nonparametric prior over a symbolic space of Gaussian process time series models, we present a novel…
Gaussian processes (GPs) are frequently used in machine learning and statistics to construct powerful models. However, when employing GPs in practice, important considerations must be made, regarding the high computational burden,…
Regression models are used in a wide range of applications providing a powerful scientific tool for researchers from different fields. Linear, or simple parametric, models are often not sufficient to describe complex relationships between…
In this paper we propose a generalized Gaussian process concurrent regression model for functional data where the functional response variable has a binomial, Poisson or other non-Gaussian distribution from an exponential family while the…
We examine an analytic variational inference scheme for the Gaussian Process State Space Model (GPSSM) - a probabilistic model for system identification and time-series modelling. Our approach performs variational inference over both the…
We propose a Bayesian nonparametric approach to modelling and predicting a class of functional time series with application to energy markets, based on fully observed, noise-free functional data. Traders in such contexts conceive profitable…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
Gaussian graphical models (GGMs) are well-established tools for probabilistic exploration of dependence structures using precision matrices. We develop a Bayesian method to incorporate covariate information in this GGMs setup in a nonlinear…
In this paper, we assess whether using non-linear dimension reduction techniques pays off for forecasting inflation in real-time. Several recent methods from the machine learning literature are adopted to map a large dimensional dataset…
The Dynamical Gaussian Process Latent Variable Models provide an elegant non-parametric framework for learning the low dimensional representations of the high-dimensional time-series. Real world observational studies, however, are often…
This paper presents a methodological approach to financial time series analysis by combining causal discovery and uncertainty-aware forecasting. As a case study, we focus on four key U.S. macroeconomic indicators -- GDP, economic growth,…
Gaussian processes are a natural way of defining prior distributions over functions of one or more input variables. In a simple nonparametric regression problem, where such a function gives the mean of a Gaussian distribution for an…
Friction modeling has always been a challenging problem due to the complexity of real physical systems. Although a few state-of-the-art structured data-driven methods show their efficiency in nonlinear system modeling, deterministic…
Credible forecasting and representation learning of dynamical systems are of ever-increasing importance for reliable decision-making. To that end, we propose a family of Gaussian processes (GP) for dynamical systems with linear…
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…
Dynamic linear models (DLM) offer a very generic framework to analyse time series data. Many classical time series models can be formulated as DLMs, including ARMA models and standard multiple linear regression models. The models can be…
Longitudinal data are important in numerous fields, such as healthcare, sociology and seismology, but real-world datasets present notable challenges for practitioners because they can be high-dimensional, contain structured missingness…
In this article, an overview of Bayesian methods for sequential simulation from posterior distributions of nonlinear and non-Gaussian dynamic systems is presented. The focus is mainly laid on sequential Monte Carlo methods, which are based…
In a variety of disciplines such as social sciences, psychology, medicine and economics, the recorded data are considered to be noisy measurements of latent variables connected by some causal structure. This corresponds to a family of…
In a variety of disciplines such as social sciences, psychology, medicine and economics, the recorded data are considered to be noisy measurements of latent variables connected by some causal structure. This corresponds to a family of…