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tslearn-team / tslearn

The machine learning toolkit for time series analysis in Python
https://tslearn.readthedocs.io
BSD 2-Clause "Simplified" License
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GP module #151

Open choltz95 opened 5 years ago

choltz95 commented 5 years ago

Support for gaussian process may be a great addition to this library e.g. normalizing sparse/irregular time series, uncertainty estimation, etc..

Regression/classification can probably be easily done similarly to the svm/svc module using sklearn, but here is an example of a more sophisticated gp library for inspiration: https://github.com/cornellius-gp/gpytorch

rtavenar commented 5 years ago

Hi @choltz95

100% agree.

I also think that more traditional stat models, like linear auto regressive and co would be great to have in future tslearn releases.

choltz95 commented 4 years ago

Not going to make a new issue, but it's seems natural if GPs are included in the library to maybe also have some api for HMMs.