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Estimating Mixture of Gaussian Processes by Kernel Smoothing
Identifiability EM algorithm Kernel regression Gaussian process Functional principal component analysis
2016/1/26
When the functional data are not homogeneous, e.g., there exist multiple classes of func-tional curves in the dataset, traditional estimation methods may fail. In this paper, we propose a new estimati...
Expectiles for subordinated Gaussian processes with applications
expectiles robustness local shift sensitivity
2011/7/19
In this paper, we introduce a new class of estimators of the Hurst exponent of the fractional Brownian motion (fBm) process.