State-Space Gaussian Process for Drift Estimation in Stochastic Differential Equations

Zheng Zhao, Filip Tronarp, Roland Hostettler, Simo Särkkä. State-Space Gaussian Process for Drift Estimation in Stochastic Differential Equations. In 2020 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2020, Barcelona, Spain, May 4-8, 2020. pages 5295-5299, IEEE, 2020. [doi]

Authors

Zheng Zhao

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Filip Tronarp

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Roland Hostettler

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Simo Särkkä

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