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Financial Machine Learning / Probabilistic and Graphical Models

Bayesian Networks and Markov Random Fields

A joint distribution over many variables can always be factored via the product rule, but that factorisation is only interesting when some variables genuinely don't depend on others. Directed graphical models (Bayesian networks) and undirected graphical models (Markov random fields) are two visual languages for making exactly those dependency assumptions explicit — a picture that simultaneously specifies a factorisation of the joint distribution and lets you read off conditional independence statements without any algebra.

In this lesson

  1. Learning objectives
  2. Directed graphical models (Bayesian networks)
  3. Reading conditional independence off a graph
  4. Undirected graphical models (Markov random fields)
  5. Worked example

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