Master's Defense

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

Speaker:Yasunori Hongo
yasunori at
Date: Thursday, July 19, 2012
Time: 3:00pm - 5:00pm
Location: D344 LSRC, Duke
Ronald Parr, Uwe Ohler


In this paper, we propose a new learning algorithm for non-stationary Dynamic Bayesian Networks. Although a number of effective learning algorithms for non-stationary DBNs have previously been proposed and applied in Signal Processing 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.
Advisor(s): Alexander Hartemink