Gaussian Process Forecast with multidimensional distributional entries

05/02/2018
by   François Bachoc, et al.
0

In this work, we propose to define Gaussian Processes indexed by multidimensional distributions. In the framework where the distributions can be modeled as i.i.d realizations of a measure on the set of distributions, we prove that the kernel defined as the quadratic distance between the transportation maps, that transport each distribution to the barycenter of the distributions, provides a valid covariance function. In this framework, we study the asymptotic properties of this process, proving micro ergodicity of the parameters.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset