355 research outputs found
Confidence Interval Construction for Multivariate time series using Long Short Term Memory Network
In this paper we propose a novel procedure to construct a confidence interval
for multivariate time series predictions using long short term memory network.
The construction uses a few novel block bootstrap techniques. We also propose
an innovative block length selection procedure for each of these schemes. Two
novel benchmarks help us to compare the construction of this confidence
intervals by different bootstrap techniques. We illustrate the whole
construction through S\&P and Dow Jones Index datasets
Area-norm COBRA on Conditional Survival Prediction
The paper explores a different variation of combined regression strategy to
calculate the conditional survival function. We use regression based weak
learners to create the proposed ensemble technique. The proposed combined
regression strategy uses proximity measure as area between two survival curves.
The proposed model shows a construction which ensures that it performs better
than the Random Survival Forest. The paper discusses a novel technique to
select the most important variable in the combined regression setup. We perform
a simulation study to show that our proposition for finding relevance of the
variables works quite well. We also use three real-life datasets to illustrate
the model
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