{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/warped-input-gaussian-processes-for-time","title":"Warped Input Gaussian Processes for Time Series Forecasting","arxiv_id":"1912.02527","date":"2019-12-05","proceeding":null,"authors":["David Tolpin"],"abstract":"We introduce a Gaussian process-based model for handling of non-stationarity. The warping is achieved non-parametrically, through imposing a prior on the relative change of distance between subsequent observation inputs. The model allows the use of general gradient optimization algorithms for training and incurs only a small computational overhead on training and prediction. The model finds its applications in forecasting in non-stationary time series with either gradually varying volatility, presence of change points, or a combination thereof. We evaluate the model on synthetic and real-world time series data comparing against both baseline and known state-of-the-art approaches and show that the model exhibits state-of-the-art forecasting performance at a lower implementation and computation cost.","url_abs":"https://arxiv.org/abs/1912.02527v1","url_pdf":"https://arxiv.org/pdf/1912.02527v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"warped-input-gaussian-processes-for-time","repo_url":"https://bitbucket.org/dtolpin/wigp","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":null},{"paper_slug":"warped-input-gaussian-processes-for-time","repo_url":"https://github.com/dtolpin/wigp","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[{"task_slug":"gaussian-processes","task_name":"Gaussian Processes"},{"task_slug":"time-series-1","task_name":"Time Series"},{"task_slug":"time-series","task_name":"Time Series Analysis"},{"task_slug":"time-series-forecasting","task_name":"Time Series Forecasting"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}