Gaussian process quantile regression
September 16, 2020 — September 16, 2020
Hilbert space
kernel tricks
ordinal
regression
tail risk
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.