Extracting predictive information from heterogeneous data streams using Gaussian Processes

DOI10.3233/AF-160055zbMath1401.62152arXiv1603.06202MaRDI QIDQ4683438

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Publication date: 21 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.06202

zbMATH Keywords

Gaussian processestime series analysisBayesian methodsfinancial forecasting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15)

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