DE-RNN: Forecasting the Probability Density Function of Nonlinear Time Series.
Kyongmin YeoIgor MelnykNam NguyenEun Kyung LeePublished in: ICDM (2018)
Keyphrases
- probability density function
- arima model
- financial time series
- forecasting accuracy
- recurrent neural networks
- autoregressive integrated moving average
- short term prediction
- density estimation
- exponential smoothing
- short term
- nearest neighbor
- density function
- probability distribution
- kullback leibler divergence
- box jenkins
- mixture model
- gaussian mixture model
- probability density
- kernel density estimation
- em algorithm
- bayesian framework
- distance function
- multivariate time series
- support vector regression
- statistical methods
- expectation maximization
- parzen window
- fisher information
- bhattacharyya distance
- neural network
- active learning
- data mining