Properties of the bayesian parameter estimation of a regression based on gaussian processes

A. A. Zaytsev, E. V. Burnaev, V. G. Spokoiny

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

We consider the regression approach based on Gaussian processes and outline our theoretical results about the properties of the posterior distribution of the corresponding covariance function's parameter vector. We perform statistical experiments confirming that the obtained theoretical propositions are valid for a wide class of covariance functions commonly used in applied problems.

Original languageEnglish
Pages (from-to)53-65
Number of pages13
JournalFundamental and Applied Mathematics
Volume18
Issue number2
Publication statusPublished - 2013
Externally publishedYes

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