Inference in Temporal Graphical Models
2016 (English)Doctoral thesis, comprehensive summary (Other academic)
This thesis develops mathematical tools used to model and forecast different economic phenomena. The primary starting point is the temporal graphical model. Four main topics, all with applications in finance, are studied.
The first two papers develop inference methods for networks of continuous time Markov processes, so called Continuous Time Bayesian Networks. Methodology for learning the structure of the network and for doing inference and simulation is developed. Further, models are developed for high frequency foreign exchange data.
The third paper models growth of gross domestic product (GDP) which is observed at a very low frequency. This application is special and has several difficulties which are dealt with in a novel way using a framework developed in the paper. The framework is motivated using a temporal graphical model. The method is evaluated on US GDP growth with good results.
The fourth paper study inference in dynamic Bayesian networks using Monte Carlo methods. A new method for sampling random variables is proposed. The method divides the sample space into subspaces. This allows the sampling to be done in parallel with independent and distinct sampling methods on the subspaces. The methodology is demonstrated on a volatility model for stock prices and some toy examples with promising results.
The fifth paper develops an algorithm for learning the full distribution in a harness race, a ranked event. It is demonstrated that the proposed methodology outperforms logistic regression which is the main competitor. It also outperforms the market odds in terms of accuracy.
Place, publisher, year, edition, pages
KTH Royal Institute of Technology, 2016. , 16 p.
Probability Theory and Statistics
Research subject Applied and Computational Mathematics
IdentifiersURN: urn:nbn:se:kth:diva-193934ISBN: 978-91-7729-115-2OAI: oai:DiVA.org:kth-193934DiVA: diva2:1034699
2016-10-21, F3, Lindstedtsvagen, Stockholm, 13:00
Devdatt, Dubhashi, Professor
QC 201610132016-10-132016-10-122016-10-13Bibliographically approved
List of papers