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Nonparametric Mixtures of Multi-Output Heteroscedastic Gaussian Processes for Volatility Modeling
Published on Jan 16, 20132784 Views
In this work, we present a nonparametric Bayesian method for multivariate volatility modeling. Our approach is based on postulation of a novel mixture of multioutput heteroscedastic Gaussian process
Chapter list
Nonparametrics Mixtures Of Multi-Output Heteroscedastic Gaussian Processes For Volatility Modeling00:00
Concept00:00
Proposed Approach - 100:33
Proposed Approach - 200:56
Model Formulation - 101:37
Model Formulation - 201:49
Experiments02:03
Experiments - Results03:14