Name
Abstract | ||
|---|---|---|
The Gaussian processes (GP) model has been successfully applied to the prediction of nonstationary time series. Due to the model's covariance function containing an undetermined hyperparameters, to find its maximum likelihood values one usually suffers from either susceptibility to initial conditions or large computational cost. To overcome the pitfalls mentioned above, at the same time to acquire better prediction performance, a novel multi-scale Gaussian processes (MGP) model is proposed in this paper. In the MGP model, the covariance function is constructed by a scaling function with its different dilations and translations, ensuring that the optimal value of the hyperparameter is easy to determine. Although some more time is spent on the calculation of covariance function, MGP takes much less time to determine hyperparameter. Therefore, the total training time of MGP is competitive to GP. Experiments demonstrate the prediction performance of MGP is better than GP. Moreover, the experiments also show that the performance of MGP and support vector machine (SVM) is comparable. They give better performance compared to the radial basis function (RBF) networks. |
Year | DOI | Venue |
|---|---|---|
2006 | 10.1007/11893028_57 | ICONIP (1) |
Keywords | Field | DocType |
better prediction performance,nonstationary time series,scaling function,total training time,multi-scale gaussian,novel multi-scale gaussian,radial basis function,mgp model,prediction performance,better performance,covariance function,maximum likelihood,gaussian process,support vector machine,initial condition | Covariance function,Radial basis function,Pattern recognition,Hyperparameter,Computer science,Support vector machine,Algorithm,Mean squared error,Gaussian process,Artificial intelligence,Artificial neural network,Covariance | Conference |
Volume | ISSN | ISBN |
4232 | 0302-9743 | 3-540-46479-4 |
Citations | PageRank | References |
0 | 0.34 | 5 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Yatong Zhou | 1 | 28 | 5.72 |
| Taiyi Zhang | 2 | 176 | 17.60 |
| Xiaohe Li | 3 | 27 | 2.96 |