2 papers
q-fin.ST2020
Gaussian process imputation of multiple financial series
Taco de Wolff, Alejandro Cuevas, Felipe Tobar
In Financial Signal Processing, multiple time series such as financial indicators, stock prices and exchange rates are strongly coupled due to their dependence on the latent state…
stat.ML2020
MOGPTK: The Multi-Output Gaussian Process Toolkit
Taco de Wolff, Alejandro Cuevas, Felipe Tobar
We present MOGPTK, a Python package for multi-channel data modelling using Gaussian processes (GP). The aim of this toolkit is to make multi-output GP (MOGP) models accessible to r…