A. A. Zaytsev, E. V. Burnaev, V. G. Spokoiny, “Properties of the Bayesian parameter estimation of a regression based on Gaussian processes”, Fundam. Prikl. Mat., 2013, Volume 18, Issue 2,Pages <nobr>53

This article is cited in 6 papers

Properties of the Bayesian parameter estimation of a regression based on Gaussian processes

A. A. Zaytsev^ab, E. V. Burnaev^cab, V. G. Spokoiny^cde

^a Institute for Information Transmission Problems, Russian Academy of Sciences, Moscow, Russia
^b "Datadvance", Moscow, Russia
^c Premolab, Moscow Institute of Physics and Technology, Moscow, Russia
^d Weierstrass Institute (WIAS), Berlin, Germany
^e Humboldt University of Berlin, Berlin, Germany

Abstract: We consider the regression approach based on Gaussian processes and outline our theoretical results about the properties of the posterior distribution of the corresponding covariance function's parameter vector. We perform statistical experiments confirming that the obtained theoretical propositions are valid for a wide class of covariance functions commonly used in applied problems.

UDC: 519.22