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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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Item Permalink: http://hdl.handle.net/11858/00-001M-0000-0013-DDB0-3 Version Permalink: http://hdl.handle.net/21.11116/0000-0005-71DD-3
Genre: Conference Paper

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 Creators:
Quiñonero-Candela, J, Author              
Girard, A, Author
Larsen, J, Author
Rasmussen, CE1, 2, Author              
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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 Abstract: 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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 Dates: 2003-04
 Publication Status: Published in print
 Pages: -
 Publishing info: -
 Table of Contents: -
 Rev. Type: -
 Identifiers: BibTex Citekey: 2686
 Degree: -

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Title: IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2003)
Place of Event: Hong Kong, China
Start-/End Date: 2003-04-06 - 2003-04-10

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Title: IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP '03)
Source Genre: Proceedings
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Publ. Info: Piscataway, NJ, USA : IEEE
Pages: - Volume / Issue: 2 Sequence Number: - Start / End Page: 701 - 704 Identifier: ISBN: 0-7803-7663-3