Related papers: Estimating value at risk: LSTM vs. GARCH

The alignment of heterogeneous sequential data (video to text) is an important and challenging problem. Standard techniques for this task, including Dynamic Time Warping (DTW) and Conditional Random Fields (CRFs), suffer from inherent…

We explore the architecture of recurrent neural networks (RNNs) by studying the complexity of string sequences it is able to memorize. Symbolic sequences of different complexity are generated to simulate RNN training and study parameter…

The time it takes for a classifier to make an accurate prediction can be crucial in many behaviour recognition problems. For example, an autonomous vehicle should detect hazardous pedestrian behaviour early enough for it to take appropriate…

In this work, we present a novel framework for on-line human gait stability prediction of the elderly users of an intelligent robotic rollator using Long Short Term Memory (LSTM) networks, fusing multimodal RGB-D and Laser Range Finder…

The recent worldwide outbreak of the novel coronavirus (COVID-19) has opened up new challenges to the research community. Artificial intelligence (AI) driven methods can be useful to predict the parameters, risks, and effects of such an…

The standard LSTM recurrent neural networks while very powerful in long-range dependency sequence applications have highly complex structure and relatively large (adaptive) parameters. In this work, we present empirical comparison between…

The behavior of recurrent neural network for the data-driven simulation of noisy dynamical systems is studied by training a set of Long Short-Term Memory Networks (LSTM) on the Mackey-Glass time series with a wide range of noise level. It…

Climate change is one of the most concerning issues of this century. Emission from electric power generation is a crucial factor that drives the concern to the next level. Renewable energy sources are widespread and available globally,…

The Value-at-Risk (VaR) is a widely used instrument in financial risk management. The question of estimating the VaR of loss return distributions at extreme levels is an important question in financial applications, both from operational…

Associative memory using fast weights is a short-term memory mechanism that substantially improves the memory capacity and time scale of recurrent neural networks (RNNs). As recent studies introduced fast weights only to regular RNNs, it is…

Long Short-Term Memory (LSTM) units have the ability to memorise and use long-term dependencies between inputs to generate predictions on time series data. We introduce the concept of modifying the cell state (memory) of LSTMs using…

Extracting previously unknown patterns and information in time series is central to many real-world applications. In this study, we introduce a novel approach to modeling financial time series using a deep learning model. We use a Long…

Recurrent Neural Networks with Long Short-Term Memory (LSTM) make use of gating mechanisms to mitigate exploding and vanishing gradients when learning long-term dependencies. For this reason, LSTMs and other gated RNNs are widely adopted,…

This paper introduces Grid Long Short-Term Memory, a network of LSTM cells arranged in a multidimensional grid that can be applied to vectors, sequences or higher dimensional data such as images. The network differs from existing deep LSTM…

This paper presents an exploration of Long Short-Term Memory (LSTM) networks in the realm of text generation, focusing on the utilization of historical datasets for Shakespeare and Nietzsche. LSTMs, known for their effectiveness in handling…

In the context of time-series forecasting, we propose a LSTM-based recurrent neural network architecture and loss function that enhance the stability of the predictions. In particular, the loss function penalizes the model, not only on the…

While the estimation of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias. This often leads to the underestimation of risk and…

In this paper, we propose the realized Hyperbolic GARCH model for the joint-dynamics of lowfrequency returns and realized measures that generalizes the realized GARCH model of Hansen et al.(2012) as well as the FLoGARCH model introduced by…

Recurrent neural networks with a gating mechanism such as an LSTM or GRU are powerful tools to model sequential data. In the mechanism, a forget gate, which was introduced to control information flow in a hidden state in the RNN, has…

The quasi-maximum likelihood estimation is a commonly-used method for estimating GARCH parameters. However, such estimators are sensitive to outliers and their asymptotic normality is proved under the finite fourth moment assumption on the…