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stat.ME2024
Joint estimation of the predictive ability of experts using a multi-output Gaussian process
Oscar Oelrich, Mattias Villani
A multi-output Gaussian process (GP) is introduced as a model for the joint posterior distribution of the local predictive ability of set of models and/or experts, conditional on a…
stat.ME2024
Modeling local predictive ability using power-transformed Gaussian processes
Oscar Oelrich, Mattias Villani
A Gaussian process is proposed as a model for the posterior distribution of the local predictive ability of a model or expert, conditional on a vector of covariates, from historica…