Journal
PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES
Volume 371, Issue 1984, Pages -Publisher
ROYAL SOC
DOI: 10.1098/rsta.2011.0550
Keywords
Gaussian processes; time-series analysis; Bayesian modelling
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Funding
- UK research councils
- EPSRC [EP/I011587/1] Funding Source: UKRI
- STFC [ST/K00106X/1] Funding Source: UKRI
- Engineering and Physical Sciences Research Council [EP/I011587/1] Funding Source: researchfish
- Science and Technology Facilities Council [ST/K00106X/1] Funding Source: researchfish
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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.
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