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

@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}
}
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… CONTINUE READING