Generalised Wishart Processes

@inproceedings{Wilson2011GeneralisedWP,
  title={Generalised Wishart Processes},
  author={Andrew Gordon Wilson and Zoubin Ghahramani},
  booktitle={UAI},
  year={2011}
}
We introduce a new stochastic process called the generalised Wishart process (GWP). It is a collection of positive semi-definite random matrices indexed by any arbitrary input variable. We use this process as a prior over dynamic (e.g. time varying) covariance matrices Σ(t). The GWP captures a diverse class of covariance dynamics, naturally handles missing data, scales nicely with dimension, has easily interpretable parameters, and can use input variables that include covariates other than time… CONTINUE READING

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