Prediction method, prediction apparatus and program

Abstract

A prediction method executed by a computer including a memory and a processor, the method includes: optimizing a parameter of a second function that outputs parameters of a first function from covariates, and optimizing a parameter of a kernel function of a Gaussian process, by using a series of observation values observed in a past and a series of the covariates observed simultaneously with the observation values, wherein values obtained by non-linearly transforming the observation values by the first function follow the Gaussian process; and calculating a prediction distribution of observation values in a period in future to be predicted by using the second function and the kernel function having parameters optimized in the optimizing, and a series of covariates in the period.

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