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  Propagation of Uncertainty in Bayesian Kernel Models - Application to Multiple-Step Ahead Forecasting

Quiñonero-Candela, J., Girard, A., Larsen, J., & Rasmussen, C. (2003). Propagation of Uncertainty in Bayesian Kernel Models - Application to Multiple-Step Ahead Forecasting. In IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP '03) (pp. 701-704). Piscataway, NJ, USA: IEEE.

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Quiñonero-Candela, J, Autor           
Girard, A, Autor
Larsen, J, Autor
Rasmussen, CE1, 2, Autor           
Affiliations:
1Department Empirical Inference, Max Planck Institute for Biological Cybernetics, Max Planck Society, ou_1497795              
2Max Planck Institute for Biological Cybernetics, Max Planck Society, Spemannstrasse 38, 72076 Tübingen, DE, ou_1497794              

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 Zusammenfassung: The object of Bayesian modelling is the predictive distribution, which in a forecasting scenario enables improved estimates of forecasted values and their uncertainties. In this paper we focus on reliably estimating the predictive mean and variance of forecasted values using Bayesian kernel based models such as the Gaussian Process and the Relevance Vector Machine. We derive novel analytic expressions for the predictive mean and variance for Gaussian kernel shapes under the assumption of a Gaussian input distribution in the static case, and of a recursive Gaussian predictive density in iterative forecasting. The capability of the method is demonstrated for forecasting of time-series and compared to approximate methods.

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 Datum: 2003-04
 Publikationsstatus: Erschienen
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 Identifikatoren: BibTex Citekey: 2686
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Titel: IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2003)
Veranstaltungsort: Hong Kong, China
Start-/Enddatum: 2003-04-06 - 2003-04-10

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Titel: IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP '03)
Genre der Quelle: Konferenzband
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Ort, Verlag, Ausgabe: Piscataway, NJ, USA : IEEE
Seiten: - Band / Heft: 2 Artikelnummer: - Start- / Endseite: 701 - 704 Identifikator: ISBN: 0-7803-7663-3