Collaborative Multi-Output Gaussian Processes for Collections of Sparse Multivariate Time Series,

Citation:
Li, S. C. - X., and B. M. Marlin, "Collaborative Multi-Output Gaussian Processes for Collections of Sparse Multivariate Time Series,", NIPS Time Series Workshop, 2015.

Date Presented:

2015

Abstract:

Collaborative Multi-Output Gaussian Processes (COGPs) are a flexible tool for modeling multivariate time series. They induce correlation across outputs through the use of shared latent processes. While past work has focused on the computational challenges that result from a single multivariate time series with many observed values, this paper explores the problem of fitting the COGP model to collections of many sparse and irregularly sampled multivariate time series. This work is motivated by applications to modeling physiological data (heart rate, blood pressure, etc.) in Electronic Health Records (EHRs).

Notes:

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