Non-parametric reconstruction of growth index via Gaussian processes
نویسندگان
چکیده
منابع مشابه
Gaussian Processes and Non-parametric Volatility Forecasting
We provide a formulation of stochastic volatility based on Gaussian processes, a flexible framework for Bayesian nonlinear regression. The advantage of using Gaussian processes in this context is to place volatility forecastingwithin a regression framework; this allows a large number of explanatory variables to be used for forecasting, a task difficult with standard volatility-forecasting formu...
متن کاملNon - Gaussian Noise via Parametric Modeling
The problem of detecting a signal known except for amplitude in incompletely characterized colored non-Gaussian noise is addressed. The problem is formulated as a testing of composite hypotheses using parametric models for the statistical behavior of the noise. A generalized likelihood ratio test is employed. It is shown that for a symmetric noise probability density function the detection perf...
متن کاملSimulation of non-gaussian processes
The paper introduces a new non-Gaussian simulation method that matches a target power spectrum and probability information. Numerical studies demonstrate applicability, convergence, and stationary properties. The method is shown to encompass a larger envelope of spectral/probabilistic descriptions than correlation distortion based methods. Specifically, the method is not constrained to relative...
متن کاملFlexible Gaussian Processes via Convolution
Spatial and spatio-temporal processes are often described with a Gaussian process model. This model can be represented as a convolution of a white noise process and a smoothing kernel. We expand upon this model by considering convolutions of non-iid background processes. We highlight two particular models based on convolutions of Markov random fields and of time-varying processes. These models ...
متن کاملThe Rate of Entropy for Gaussian Processes
In this paper, we show that in order to obtain the Tsallis entropy rate for stochastic processes, we can use the limit of conditional entropy, as it was done for the case of Shannon and Renyi entropy rates. Using that we can obtain Tsallis entropy rate for stationary Gaussian processes. Finally, we derive the relation between Renyi, Shannon and Tsallis entropy rates for stationary Gaussian proc...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Science China Physics, Mechanics & Astronomy
سال: 2019
ISSN: 1674-7348,1869-1927
DOI: 10.1007/s11433-019-9373-0