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Experimental Mathematics Seminar

Mixed frequency data inputs for Recurrent Neural Networks

Stephen Chen, Princeton University

Location:  Join via ZOOM:
Date & time: Thursday, 23 April 2020 at 5:00PM - 6:00PM

Abstract: Observations sampled at different frequencies provide multi-level details. How to effectively use them remains a challenging task. We can aggregate all the data to the lowest-frequency level, or we can fill all the missing data to the highest-frequency level. Is there a better way to utilize the information without eliminating the details or introducing noise? We here provide a recurrent neural network model for mixed frequency data, providing convergence proof, error estimation, and some numerical results.


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