He Ni1,*, Yongqiao Wang1, Buyun Xu2
Intelligent Automation & Soft Computing, Vol.26, No.2, pp. 227-236, 2020, DOI:10.31209/2019.100000068
Abstract The paper presents a probabilistic clustering approach based on self-organizing
learning algorithm and recursive Bayesian estimation. The model is built upon
the principle that the market data space is multimodal and can be described by
a mixture of Gaussian distributions. The model parameters are approximated by
a stochastic recursive Bayesian learning: searches for the maximum a posterior
solution at each step, stochastically updates model parameters using a “dualneighbourhood” function with adaptive simulated annealing, and applies profile
likelihood confidence interval to avoid prolonged learning. The proposed model
is based on a number of pioneer works, such as Mixture Gaussian
Autoregressive Model,… More >
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