In this paper, the problem of time series prediction is studied. A Bayesian procedure based on Gaussian Process (GP) model combined with Linear Discriminate Analysis (LDA) as dimensionality reduction method is proposed. To evaluate the proposed approach, its performance is assessed using three scenarios: long window (latest 50 variables), short window (latest 5 variables) and persistence. To evaluate...
Financed by the National Centre for Research and Development under grant No. SP/I/1/77065/10 by the strategic scientific research and experimental development program:
SYNAT - “Interdisciplinary System for Interactive Scientific and Scientific-Technical Information”.