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Erasmus Lecture by Prof. A. de Sanctis

  • Contact informationTassos Bountisemail:bountis AT math.upatras.gr

14.07.2009, Seminar Room 342, Department of Mathematics

Information Geometry of regime-switching models

Angela De Sanctis

University "G. d'Annunzio" of Chieti-Pescara

We discuss the possibility to give a geometrical interpretation of stochastic dynamical systems in which the motion randomly switches between two regimes using Markovian transitions. For a regime-switching model of the price behavior with time-varying parameters, using Information Geometry, we proved that the space of the conditional probability distributions is an exponential family, which depends on an hidden variable varying with the information at the previous time. When this information is not fixed, we obtain a network trained by various input signals and corresponding output behaviors, as in the neural case. In particular the (EM) and (em) Algorithms are equivalent.

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