Seminars & Colloquia Calendar
Mixed frequency data inputs for Recurrent Neural Networks
Stephen Chen, Princeton University
Location: Join via ZOOM: https://sites.math.rutgers.edu/~zeilberg/expmath/
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.