SigGPDE: Scaling Sparse Gaussian Processes on Sequential Data

Maud Lemercier, Cristopher Salvi, Thomas Cass, Edwin V. Bonilla, Theodoros Damoulas, Terry J. Lyons

Abstract: Making predictions and quantifying their uncertainty when the input data is sequential is a fundamental learning challenge, recently attracting increasing attention. We develop SigGPDE, a new scala...