Probabilistic structure discovery in time series data
  Existing methods for structure discovery in time series data construct interpretable, compositional kernels for Gaussian process regression models. While the learned Gaussian process model provides posterior mean and variance estimates, typically the structure is learned via a greedy optimization procedure. This restricts the space of possible solutions and leads to over-confident uncertainty estimates. We introduce a fully Bayesian approach, inferring a full posterior over structures, which more reliably captures the uncertainty of the model. 
David Janz, Brooks Paige, Tom Rainforth, Jan-Willem van de Meent,   Frank Wood
stat.ML cs.LG