Regime Aware Learning
2016 (English)In: Proceedings of the Eighth International Conference on Probabilistic Graphical Models, JMLR , 2016, Vol. 52, 1-12 p.Conference paper (Refereed)
We propose a regime aware learning algorithm to learn a sequence of Bayesian networks (BNs) that model a system that undergoes regime changes. The last BN in the sequence represents the system’s current regime, and should be used for BN inference. To explore the feasibility of the algorithm, we create baseline tests against learning a singe BN, and show that our proposed algorithm outperforms the single BN approach. We also apply the learning algorithm on real world data from the financial domain, where it is evident that the algorithm is able to produce BNs that have adapted to the regime changes during the most recent global financial crisis of 2007-08.
Place, publisher, year, edition, pages
JMLR , 2016. Vol. 52, 1-12 p.
, JMLR: Workshop and Conference Proceedings, ISSN 1938-7228 ; 52
Regime changes, Bayesian networks, financial application
Computer and Information Science
IdentifiersURN: urn:nbn:se:liu:diva-131133OAI: oai:DiVA.org:liu-131133DiVA: diva2:968120
Eighth International Conference on Probabilistic Graphical Models (PGM 2016), Lugano, Switzerland, September 6-9, 2016