Time Series Forecasting with Gaussian Processes Needs Priors

• Published in: Machine Learning and Knowledge Discovery in Databases. Applied Data Science Track Vol. 12978; pp. 103 - 117
• Main Authors: Corani, Giorgio, Benavoli, Alessio, Zaffalon, Marco
• Format: Book Chapter
• Language: English
• Published: Switzerland Springer International Publishing AG 2021; Springer International Publishing
• Series: Lecture Notes in Computer Science

Automatic forecasting is the task of receiving a time series and returning a forecast for the next time steps without any human intervention. Gaussian Processes (GPs) are a powerful tool for modeling time series, but so far there are no competitive approaches for automatic forecasting based on GPs....