Gaussian Process for Time Series Analysis

The aim of this talk is to introduce the notion of Gaussian process and describe
how to use it to solve regressions problems and time series forecasting.


A Gaussian process can be seen as a generalization of the
Gaussian probability distribution in the setting of function spaces.
This non-parametric Bayesian approach is very effective to model arbitrary complex
functions as one does not need to specify the functional form explicitly. Instead, one controls
the complexity of the model by means of a covariance function,
which encodes the interaction between neighboring points.
The space of covariance functions has a rich structure and it is closed under various type of
operations like addition, product and convolution.
Combining different type of covariant function allow us to model independent components,
like the trend on seasonal components in the context of time series analysis.

The objective of this talk is to discuss the ideas and concepts around this approach
through concrete examples, instead of focussing on the mathematical formalism.
In particular, we show to generate predictions using the GaussianProcessRegressor
of scikit-learn.

Content:

  • Bayesian Linear Regression
  • The Kernel Trick
  • Gaussian Processes Regression
  • Covariance Functions
  • Examples

References:

Blog Posts:
- Regularized Bayesian Regression as a Gaussian Process
- An Introduction to Gaussian Process Regression


Abstract as a tweet:

Gaussian process for regressions problems and time series forecasting

Domains:

Algorithms, Data Science, Machine Learning, Statistics

Domain Expertise:

some

Python Skill Level:

basic

Link to talk slides:

https://juanitorduz.github.io/gaussian_process_reg/

Public link to supporting material:

https://juanitorduz.github.io/gaussian_process_reg/