The extended skew Gaussian process for regression
M. Alodat () and
METRON, 2014, vol. 72, issue 3, 317-330
In this article, we propose a generalization to the Gaussian process regression(GPR) model called the extended skew Gaussian process for regression (ESGP) model. The ESGP model works better than the GPR model when the errors are skewed. We derive the predictive distribution for the ESGP model at a new input. Also we apply the ESGP model to FOREX data and we find that it fits the Forex data better than the GPR model. Copyright Sapienza Università di Roma 2014
Keywords: Extended skew normal distribution; Gaussian process for regression (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:metron:v:72:y:2014:i:3:p:317-330
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