no code implementations • 5 Oct 2021 • Alejandro Cuevas, Sebastián López, Danilo Mandic, Felipe Tobar
Autoregressive (AR) time series models are widely used in parametric spectral estimation (SE), where the power spectral density (PSD) of the time series is approximated by that of the \emph{best-fit} AR model, which is available in closed form.
no code implementations • 11 Feb 2020 • Taco de Wolff, Alejandro Cuevas, Felipe Tobar
In Financial Signal Processing, multiple time series such as financial indicators, stock prices and exchange rates are strongly coupled due to their dependence on the latent state of the market and therefore they are required to be jointly analysed.
1 code implementation • 9 Feb 2020 • Taco de Wolff, Alejandro Cuevas, Felipe Tobar
We present MOGPTK, a Python package for multi-channel data modelling using Gaussian processes (GP).