The Elliptical Processes: a Family of Fat-tailed Stochastic Processes

We present the elliptical processes -- a family of non-parametric probabilistic models that subsumes the Gaussian process and the Student-t process. This generalization includes a range of new fat-tailed behaviors yet retains computational tractability. We base the elliptical processes on a represen...

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Veröffentlicht in:	arXiv.org 2020-12
Hauptverfasser:	Bånkestad, Maria, Sjölund, Jens, Taghia, Jalil, Schön, Thomas
Format:	Artikel
Sprache:	eng
Schlagworte:	Gaussian process Normal distribution Robustness (mathematics) Stochastic models Stochastic processes
Online-Zugang:	Volltext
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