Recurrent representation for stationary Gaussian processes

نویسندگان

چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

State Space representation of non-stationary Gaussian Processes

The state space (SS) representation of Gaussian processes (GP) has recently gained a lot of interest. The main reason is that it allows to compute GPs based inferences in O(n), where n is the number of observations. This implementation makes GPs suitable for Big Data. For this reason, it is important to provide a SS representation of the most important kernels used in machine learning. The aim ...

متن کامل

Realization Theory for Multivariate Stationary Gaussian Processes

This paper collects in one place a comprehensive theory of stochastic realization for continuous time stationary Gaussian vector processes which in various pieces has appeared in a number of our earlier papers. It begins with an abstract state space theory, based on the concept of splitting subspace. These results are then carried over to the spectral domain and described in terms of Hardy func...

متن کامل

Stationary Systems of Gaussian Processes

We describe all countable particle systems on R which have the following three properties: independence, Gaussianity, and stationarity. More precisely, we consider particles on the real line starting at the points of a Poisson point process with intensity measure m and moving independently of each other according to the law of some Gaussian process ξ. We describe all pairs (m, ξ) generating a s...

متن کامل

Recurrent Gaussian Processes

We define Recurrent Gaussian Processes (RGP) models, a general family of Bayesian nonparametric models with recurrent GP priors which are able to learn dynamical patterns from sequential data. Similar to Recurrent Neural Networks (RNNs), RGPs can have different formulations for their internal states, distinct inference methods and be extended with deep structures. In such context, we propose a ...

متن کامل

Spectral Representation of Stationary Processes

The spectral distribution measures the fraction of the total variance of the process γ(0) that can be attributed to a certain interval of frequencies.. If for example we have monthly data then one month corresponds to 2π, two month correspond to π, one year corresponds to π/6 . To measure the fraction of the variance generated by cyclical components of more than one year cycle length we would c...

متن کامل

ذخیره 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: Applied Mathematics Letters

سال: 1998

ISSN: 0893-9659

DOI: 10.1016/s0893-9659(98)00024-x