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Online Learning of Non-Stationary Networks, with Application to Financial Data

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Date
2012
Author
Hongo, Yasunori
Advisor
Hartemink, Alexander J
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Abstract

In this paper, we propose a new learning algorithm for non-stationary Dynamic Bayesian Networks is proposed. Although a number of effective learning algorithms for non-stationary DBNs have previously been proposed and applied in Signal Pro- cessing and Computational Biology, those algorithms are based on batch learning algorithms that cannot be applied to online time-series data. Therefore, we propose a learning algorithm based on a Particle Filtering approach so that we can apply that algorithm to online time-series data. To evaluate our algorithm, we apply it to the simulated data set and the real-world financial data set. The result on the simulated data set shows that our algorithm performs accurately makes estimation and detects change. The result applying our algorithm to the real-world financial data set shows several features, which are suggested in previous research that also implies the effectiveness of our algorithm.

Type
Dissertation
Department
Computer Science
Subject
Artificial intelligence
Finance
Computer science
Bayesian networks
GARCH
Monte Carlo methods
Particle filtering
structure learning
volatilities
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https://hdl.handle.net/10161/5839
Citation
Hongo, Yasunori (2012). Online Learning of Non-Stationary Networks, with Application to Financial Data. Dissertation, Duke University. Retrieved from https://hdl.handle.net/10161/5839.
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