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0111 · Feb 201219922001200920172026
8 results for CRBM

CRBMs improve financial regime detection with PCD and free energy analysis.

problem Detecting systemic risk regimes in financial time series.
method Extended RBM to CRBM with autoregressive conditioning and PCD. Decomposed free energy into magnitude and correlation components.
result CRBM's free energy metric distinguishes between magnitude shocks and market regimes.

Restricted Boltzmann machines~(RBMs) and conditional RBMs~(CRBMs) are popular models for a wide range of applications. In previous work, learning on such models has been dominated by contrastive divergence~(CD) and its variants. Belief propagation~(BP) algorithms are believed to be slow for structured prediction on con…

2017-03-02abs ↗pdf ↗

Restricted Boltzmann Machines (RBMs) are generative models which can learn useful representations from samples of a dataset in an unsupervised fashion. They have been widely employed as an unsupervised pre-training method in machine learning. RBMs have been modified to model time series in two main ways: The Temporal R…

2013-09-12abs ↗pdf ↗