Probabilistic Forecasting of Time Series with Gaussian Process Regression

Creating a Multi-Step Forecasting Machine Learning Model

This article presents a machine learning model known as the Gaussian Process Regression (GPR) algorithm. It explains the intuition and how the model is structured, then it creates a multi-step forecasting model in order to predict using the model’s inputs.

Multi-step forecasting is a technique to project multiple values to the future, thus creating a tra…