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stat.ML2016★ 3 cited
Gaussian Process Kernels for Popular State-Space Time Series Models
Alexander Grigorievskiy, Juha Karhunen
In this paper we investigate a link between state- space models and Gaussian Processes (GP) for time series modeling and forecasting. In particular, several widely used state- spac…
stat.ML2016
Parallelizable sparse inverse formulation Gaussian processes (SpInGP)
Alexander Grigorievskiy, Neil Lawrence, Simo Särkkä
We propose a parallelizable sparse inverse formulation Gaussian process (SpInGP) for temporal models. It uses a sparse precision GP formulation and sparse matrix routines to speed…