The multikernel least-mean-square algorithm is introduced for adaptive estimation of vector-valued nonlinear and nonstationary signals. This is achieved by mapping the multivariate input data to a Hilbert space of time-varying vector-valued functions, whose inner products (kernels) are combined in an online fashion. The proposed algorithm is equipped with novel adaptive sparsification criteria ensuring a finite dictionary, and is computationally efficient and suitable for nonstationary environments. We also show the ability of the proposed vector-valued reproducing kernel Hilbert space to serve as a feature space for the class of multikernel least-squares algorithms. The benefits of adaptive multikernel (MK) estimation algorithms are illuminated in the nonlinear multivariate adaptive prediction setting. Simulations on nonlinear inertial body sensor signals and nonstationary real-world wind signals of low, medium, and high dynamic regimes support the approach.

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The Gaussian process (GP) is a nonparametric prior distribution over functions indexed by time, space, or other high-dimensional index set. The GP is a flexible model yet its limitation is given by its very nature: it can only model Gaussian marginal distributions. To model non-Gaussian data, a GP can be warped by a nonlinear transformation (or warping) as performed by warped GPs (WGPs) and more computationally-demanding alternatives such as Bayesian WGPs and deep GPs. However, the WGP requires a numerical approximation of the inverse warping for prediction, which increases the computational complexity in practice. To sidestep this issue, we construct a novel class of warpings consisting of compositions of multiple elementary functions, for which the inverse is known explicitly. We then propose the compositionally-warped GP (CWGP), a non-Gaussian generative model whose expressiveness follows from its deep compositional architecture, and its computational efficiency is guaranteed by the analytical inverse warping. Experimental validation using synthetic and real-world datasets confirms that the proposed CWGP is robust to the choice of warpings and provides more accurate point predictions, better trained models and shorter computation times than WGP.

The obesity epidemic progresses everywhere across the globe, and implementing frequent nationwide surveys to measure the percentage of obese population is costly. Conversely, country-level food sales information can be accessed inexpensively through different suppliers on a regular basis. This study applies a methodology to predict obesity prevalence at the country-level based on national sales of a small subset of food and beverage categories. Three machine learning algorithms for nonlinear regression were implemented using purchase and obesity prevalence data from 79 countries: support vector machines, random forests and extreme gradient boosting. The proposed method was validated in terms of both the absolute prediction error and the proportion of countries for which the obesity prevalence was predicted satisfactorily. We found that the most-relevant food category to predict obesity is baked goods and flours, followed by cheese and carbonated drinks.