AutoGP.jl

A Julia package for learning the covariance structure of Gaussian process time series models.

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Installation

First, obtain Julia 1.8 or later, available here.

The AutoGP package can be installed with the Julia package manager. From the Julia REPL, type ] to enter the Pkg REPL mode and then run:

pkg> add AutoGP

Tutorials

Please refer to the Tutorials page.

Citation

@inproceedings{saad2023icml,
title        = {Sequential {Monte} {Carlo} Learning for Time Series Structure Discovery},
author       = {Saad, Feras A. and Patton, Brian J. and Hoffmann, Matthew D. and Saurous, Rif A. and Mansinghka, V. K.},
booktitle    = {Proceedings of the 40th International Conference on Machine Learning},
series       = {Proceedings of Machine Learning Research},
volume       = {202},
pages        = {29473--29489},
year         = {2023},
publisher    = {PMLR},
}

License

AutoGP.jl is licensed under the Apache License, Version 2.0; refer to LICENSE.