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The extended skew Gaussian process for regression

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  • M. Alodat
  • M. AL-Rawwash

Abstract

In this article, we propose a generalization to the Gaussian process regression(GPR) model called the extended skew Gaussian process for regression (ESGP) model. The ESGP model works better than the GPR model when the errors are skewed. We derive the predictive distribution for the ESGP model at a new input. Also we apply the ESGP model to FOREX data and we find that it fits the Forex data better than the GPR model. Copyright Sapienza Università di Roma 2014

Suggested Citation

  • M. Alodat & M. AL-Rawwash, 2014. "The extended skew Gaussian process for regression," METRON, Springer;Sapienza Università di Roma, vol. 72(3), pages 317-330, October.
    • Handle: RePEc:spr:metron:v:72:y:2014:i:3:p:317-330
    DOI: 10.1007/s40300-014-0046-z
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    References listed on IDEAS

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    1. Vicente Cancho & Víctor Lachos & Edwin Ortega, 2010. "A nonlinear regression model with skew-normal errors," Statistical Papers, Springer, vol. 51(3), pages 547-558, September.
    2. Brahim-Belhouari, Sofiane & Bermak, Amine, 2004. "Gaussian process for nonstationary time series prediction," Computational Statistics & Data Analysis, Elsevier, vol. 47(4), pages 705-712, November.
    3. Marco Minozzo, 2011. "On the existence of some skew normal stationary processes," Working Papers 20/2011, University of Verona, Department of Economics.
    4. A. Azzalini & A. Capitanio, 1999. "Statistical applications of the multivariate skew normal distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(3), pages 579-602.
    5. Zareifard, Hamid & Jafari Khaledi, Majid, 2013. "Non-Gaussian modeling of spatial data using scale mixing of a unified skew Gaussian process," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 16-28.
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    Cited by:

    1. Sakae Oya & Teruo Nakatsuma, 2021. "Identification in Bayesian Estimation of the Skewness Matrix in a Multivariate Skew-Elliptical Distribution," Papers 2108.04019, arXiv.org.

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