State Space

Infinite-Horizon Gaussian Processes - Solin et al (2018)

-> Paper

-> Code

-> Poster

State Space Gaussian Processes with Non-Gaussian Likelihood - Nickisch et. al. (2018)

-> Paper

-> Poster

-> Blog

-> Video

Joint introduction to Gaussian Processes and Relevance Vector Machines with Connections to Kalman filtering and other Kernel Smoothers - Martino & Read (22-2020)

-> Paper

State Space Expectation Propagation: Efficient Inference Schemes for Temporal Gaussian Processes - Wilkinson et. al. (2020)

-> Paper

-> Code - kalman-jax

Deep State-Space Gaussian Processes - Zhao et. al. (2020)

-> Paper

Fast Variational Learning in State-Space Gaussian Process Models - Chang et. al. (2020)

-> Video

-> Code

-> Tweet

Doubly Sparse Variational Gaussian Processes - Adam et. al. (2020)

-> Video

-> Code

-> Paper

Other Resources

Kalman and Bayesian Filters in Python

Lectures

Simo Särkkä: State Space Representation of Gaussian Process (2014)

-> Video

ICML2020 - ML w. Signal Processing - Arno Solin

-> Part 1: Signal Processing Tooling

-> Part 2: Stochastic Differential Equations

-> Part 3: Three Views into Gaussian Processes

-> Part 4: Application Examples