Monthly Archives: January 2012

Might be worth a read, high frequency

Posted on January 27, 2012 by quantitativenotes

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1989555

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2D Gaussian Process GPML Example

Posted on January 16, 2012 by quantitativenotes

% Optimise GP % – Make 2d grid coords z0 = linspace(-1.5,1.5,100)’; z1 = linspace(-3.0,3.0,100′); [Z0 Z1] = ndgrid(z0,z1); Z = [Z0(:) Z1(:)]; [m s2 lf lf_s2] = gp(hyp2, @infExact, [], covfunc, likfunc, X, Y, Z); lf_s1 = sqrt(lf_s2); m_2d … Continue reading →

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Gaussian Process Example, FA Rejection

Posted on January 14, 2012 by quantitativenotes

To model a simple Gaussian Process using the GPML toolkit, try % —————- % Gaussian Process likfunc = @likGauss; sn = 0.1; hyp.lik = log(sn); covfunc = @covSEiso; hyp2.cov = [0; 0]; hyp2.lik = log(0.1); hyp2 = minimize(hyp2, @gp, -100, … Continue reading →

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