Modelling input varying correlations between multiple responses

Andrew Gordon Wilson, Zoubin Ghahramani

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We introduced a generalised Wishart process (GWP) for modelling input dependent covariance matrices ∑(x), allowing one to model input varying correlations and uncertainties between multiple response variables. The GWP can naturally scale to thousands of response variables, as opposed to competing multivariate volatility models which are typically intractable for greater than 5 response variables. The GWP can also naturally capture a rich class of covariance dynamics - periodicity, Brownian motion, smoothness, ...- through a covariance kernel.

Original languageEnglish (US)
Title of host publicationMachine Learning and Knowledge Discovery in Databases - European Conference, ECML PKDD 2012, Proceedings
Pages858-861
Number of pages4
EditionPART 2
DOIs
StatePublished - Oct 4 2012
Event2012 European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases, ECML-PKDD 2012 - Bristol, United Kingdom
Duration: Sep 24 2012Sep 28 2012

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
NumberPART 2
Volume7524 LNAI
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Conference

Conference2012 European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases, ECML-PKDD 2012
CountryUnited Kingdom
CityBristol
Period9/24/129/28/12

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Computer Science(all)

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  • Cite this

    Wilson, A. G., & Ghahramani, Z. (2012). Modelling input varying correlations between multiple responses. In Machine Learning and Knowledge Discovery in Databases - European Conference, ECML PKDD 2012, Proceedings (PART 2 ed., pp. 858-861). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 7524 LNAI, No. PART 2). https://doi.org/10.1007/978-3-642-33486-3_64