Gaussian processes for time-series modelling
Stephen John Roberts, Michael A. Osborne, Mark Ebden, Steven Reece, Neale P. Gibson, S. Aigrain · Philosophical Transactions of the Royal Society A Mathematical Physical and Engineering Sciences · 2012
In this paper, we offer a gentle introduction to Gaussian processes for time-series data analysis. The conceptual framework of Bayesian modelling for time-series data is discussed and the foundations of Bayesian non-parametric modelling presented for Gaussian processes. We discuss how domain knowledge influences design of the Gaussian process models and provide case examples to highlight the approaches.