Gaussian process for long-term time-series forecasting

Gaussian process (GP), as one of the cornerstones of Bayesian non-parametric methods, has received extensive attention in machine learning. GP has intrinsic advantages in data modeling, given its construction in the framework of Bayesian hieratical modeling and no requirement for a priori information of function forms in Bayesian reference. In light of its success in various applications, utilizing GP for time-series forecasting has gained increasing interest in recent years. This paper is concerned with using GP for multiple-step-ahead time-series forecasting, an important type of time-series analysis. Utilizing a large number of real-world time series, this paper evaluates two different GP modeling strategies (direct and recursive) for performing multiple-step-ahead forecasting.