Gaussian Processes for Local Polynomial Forecasting of Time Series

Abstract

Non-stationary time series with non-linear trends are frequently encountered in applications. We consider here the feasibility of accurately forecasting the signals of multiple such time series considering jointly when the number of historic samples is inadequate for accurately forecasting the signal of each considered in isolation. We develop a new forecasting methodology based on Gaussian process regression that is successful in doing so in examples for which the method of generalized least-squares is not. The new method employs a form of deep machine learning.