Mathematical Statistics Seminar

Alexandra Suvorikova, WIAS Berlin

Gaussian process forecast with multidimensional distributional input

In this work, we focus on forecasting a Gaussian process indexed by probability distributions. We introduce a family of positive definite kernels constructed with the use of optimal transportation distance and provide their probabilistic understanding. The technique allows to forecast efficiently Gaussian processes, which opens new perspective in Gaussian process modelling.  

Speakers

Alexandra Suvorikova, WIAS Berlin