経済統計WSと科研費基盤(A)「新たな不確実性指標の構築と金融市場およびマクロ経済に与える影響の理論・計量分析」（23H00048、研究代表者：渡部敏明）の共催で、以下の通り、Mike So教授（香港科技大）の講演会を開催しますので、奮ってご参加下さい。

日時：4月25日（金）17:10-18:40
教室：第３研究館３階会議室
報告者：Mike K. P. So (The Hong Kong University of Science and Technology)
https://facultyprofiles.hkust.edu.hk/profiles.php?profile=mike-ka-pui-so-immkpso

報告タイトル：Dynamic Bayesian Networks with Conditional Dynamics in Edge Addition and Deletion
報告要旨：
This study presents a dynamic Bayesian network framework that facilitates intuitive gradual edge changes. We use two conditional dynamics to model the edge addition and deletion, and edge selection separately. Unlike previous research that uses a mixture network approach, which restricts the number of possible edge changes, or structural priors to induce gradual changes, which can lead to unclear network evolution, our model induces more frequent and intuitive edge change dynamics. We employ Markov chain Monte Carlo (MCMC) sampling to estimate the model structures and parameters and demonstrate the model’s effectiveness in a portfolio selection application.

The working paper is available in https://arxiv.org/abs/2409.08965