Gaussian Processes for Bayesian hypothesis tests on regression functions


Alessio Benavoli, Francesca Mangili ;
Proceedings of the Eighteenth International Conference on Artificial Intelligence and Statistics, PMLR 38:74-82, 2015.


Gaussian processes have been used in different application domains such as classification, regression etc. In this paper we show that they can also be employed as a universal tool for developing a large variety of Bayesian statistical hypothesis tests for regression functions. In particular, we will use GPs for testing whether (i) two functions are equal; (ii) a function is monotone (even accounting for seasonality effects); (iii) a function is periodic; (iv) two functions are proportional. By simulation studies, we will show that, beside being more flexible, GP tests are also competitive in terms of performance with state-of-art algorithms.

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