Composite T-Process Regression Models

Abstract

Process regression models, such as Gaussian process regression model (GPR), have been widely applied to analyze kinds of functional data. This paper introduces a composite of two T-process (CT), where the first one captures the smooth global trend and the second one models local details. The CT has an advantage in the local variability compared to general T-process. Furthermore, a composite T-process regression (CTP) model is developed, based on the composite T-process. It inherits many nice properties as GPR, while it is more robust against outliers than GPR. Numerical studies including simulation and real data application show that CTP performs well in prediction.

Keywords

Composite Gaussian process regression / Composite T-process regression / Extended T-process regression / Functional data

Funding

National Natural Science Foundation of China(11971457)

Natural Science Foundation of Anhui Province(1908085MA06)