State Space Approach to Adaptive Fuzzy Modeling: Application to Financial Investment

Abstract

This paper proposes a new state space approach to adaptive fuzzy modeling under the dynamic environment, where Bayesian filtering sequentially learns the model parameters including model structures themselves as state variables. In particular, our approach specifies the state transitions as meanreversion processes, which intends to incorporate and extend… (More)

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Cite this paper

@inproceedings{Nakano2017StateSA, title={State Space Approach to Adaptive Fuzzy Modeling: Application to Financial Investment}, author={Masafumi Nakano and Akihiko Takahashi and Soichiro Takahashi}, year={2017} }