4 ms·
A lot of M3 datasets we use are high-frequency, with large seasonal inputs. Considering Gaussian Processes (GP) complexity is O(N^3), a careful study of their p
by maxmc 4y ago
A lot of M3 datasets we use are high-frequency, with large seasonal inputs. Considering Gaussian Processes (GP) complexity is O(N^3), a careful study of their performance would be challenging.
Also... I'm not aware of any efficient GP Python implementations.
- thanatropism 4y agoJust write your GP model in Pyro or something like that.
- vladf 4y agoGPs over time series can leverage low-dimensional index sets for O(N lg N) fitting and inference. This can be done by interpolating the inputs onto a regular grid which admits Toeplitz kernels. See https://arxiv.org/abs/1503.01057 https://arxiv.org/abs/1503.01057.