图 书 馆
基于内核的Copula流程Kernel-Based Copula Processes |
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| 课程网址: | http://videolectures.net/ecmlpkdd09_ng_kbcp/ |
| 主讲教师: | Eddie K. H. Ng |
| 开课单位: | 多伦多大学 |
| 开课时间: | 2009-10-20 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | Kernel-based Copula Processes (KCPs), a new versatile tool for analyzing multiple time-series, are proposed here as a unifying framework to model the interdependency across multiple time-series and the long-range dependency within an individual time-series. KCPs build on the celebrated theory of copula which allows for the modeling of complex interdependence structure, while leveraging the power of kernel methods for efficient learning and parsimonious model specification. Specifically, KCPs can be viewed as a generalization of the Gaussian processes enabling non-Gaussian predictions to be made. Such non-Gaussian features are extremely important in a variety of application areas. As one application, we consider temperature series from weather stations across the US. Not only are KCPs found to have modeled the heteroskedasticity of the individual temperature changes well, the KCPs also successfully discovered the interdependencies among different stations. Such results are beneficial for weather derivatives trading and risk management, for example. |
| 关 键 词: | 时间序列; 有效学习; 简约模型 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2019-03-27：lxf |
| 阅读次数: | 95 |