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math.ST2022
Uncertainty quantification for sparse spectral variational approximations in Gaussian process regression
Dennis Nieman, Botond Szabo, Harry van Zanten
We investigate the frequentist guarantees of the variational sparse Gaussian process regression model. In the theoretical analysis, we focus on the variational approach with spectr…
math.PR2022★ 1 cited
Input estimation from discrete workload observations in a Lévy-driven storage system
Dennis Nieman, Michel Mandjes, Liron Ravner
Our goal is to estimate the characteristic exponent of the input to a Lévy-driven storage system from a sample of equispaced workload observations. The estimator relies on an appro…