Construction of Confidence Interval for a Univariate Stock Price Signal Predicted Through Long Short Term Memory Network

Shankhajyoti De, Arabin Kumar Dey () and Deepak Kumar Gouda
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Shankhajyoti De: IIT Guwahati
Arabin Kumar Dey: IIT Guwahati
Deepak Kumar Gouda: IIT Guwahati

Annals of Data Science, 2022, vol. 9, issue 2, No 5, 284 pages

Abstract: Abstract In this paper, we show an innovative way to construct bootstrap confidence interval of a signal estimated based on a univariate LSTM model. We take three different types of bootstrap methods for dependent set up. We prescribe some useful suggestions to select the optimal block length while performing the bootstrapping of the sample. We also propose a benchmark to compare the confidence interval measured through different bootstrap strategies. We illustrate the experimental results through some stock price data set.

Keywords: Confidence interval; Bootstrap; LSTM; Forecasting (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s40745-020-00307-8

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