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ANC Workshop Talk: Mike Smith and Peter Orchard, Chair: Colin Mclean

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What
  • ANC Workshop Talk
When May 15, 2012
from 11:00 AM to 12:00 PM
Where IF 4.31/4.33
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Peter Orchard

A Sparse Input-Output HMM for Financial Time Series

Building incrementally on our previous work, I will introduce an Input-Output HMM with sparsity constraints on both transition and emission models. This
extends recent sparse regression and structure learning methods, and results in a time series model that combines feature selection with the learning of interpretable dependence structures. The model is applicable in multiple domains, but I focus on modelling multivariate financial time series.