# Gaussian process quantile regression

September 16, 2020 — September 16, 2020

How to do quantile regression with GPs, i.e. learning to predict a given quantile of the target distribution.

Not the same as learning ranking, although there are connections.

## 1 References

Boukouvalas, Barillec, and Cornford. 2012. “Gaussian Process Quantile Regression Using Expectation Propagation.” In

*ICML 2012*.
Reich. 2012. “Spatiotemporal Quantile Regression for Detecting Distributional Changes in Environmental Processes.”

*Journal of the Royal Statistical Society: Series C (Applied Statistics)*.
Reich, Fuentes, and Dunson. 2011. “Bayesian Spatial Quantile Regression.”

*Journal of the American Statistical Association*.
Yang, Li, Li, et al. 2018. “Power Load Probability Density Forecasting Using Gaussian Process Quantile Regression.”

*Applied Energy*.