Wanning Sun

University of Toronto, Toronto, Canada

Graduate Student

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Scholarly Papers (1)

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Detecting Structural Breaks in Dynamic Environments Using Reinforcement Learning and Bayesian Change Point Models

Number of pages: 21 Posted: 08 Apr 2025
Azin Sharifi, Wanning Sun and Luis A. Seco
University of Toronto - RiskLab, University of Toronto, Toronto, Canada and University of Toronto
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Abstract:

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Structural break detection, Reinforcement learning, Bayesian change point detection, Counterfactual reinforcement learning, Nonstationary time series