Gaussian process quantile regression


How to do quantile regression with GPs.

References

Boukouvalas, Alexis, Remi Barillec, and Dan Cornford. 2012. “Gaussian Process Quantile Regression Using Expectation Propagation.” In ICML 2012. http://arxiv.org/abs/1206.6391.
Reich, Brian J. 2012. “Spatiotemporal Quantile Regression for Detecting Distributional Changes in Environmental Processes.” Journal of the Royal Statistical Society: Series C (Applied Statistics) 61 (4): 535–53. https://doi.org/10.1111/j.1467-9876.2011.01025.x.
Reich, Brian J., Montserrat Fuentes, and David B. Dunson. 2011. “Bayesian Spatial Quantile Regression.” Journal of the American Statistical Association 106 (493): 6–20. https://doi.org/10.1198/jasa.2010.ap09237.
Yang, Yandong, Shufang Li, Wenqi Li, and Meijun Qu. 2018. “Power Load Probability Density Forecasting Using Gaussian Process Quantile Regression.” Applied Energy 213 (March): 499–509. https://doi.org/10.1016/j.apenergy.2017.11.035.