EconPapers    
Economics at your fingertips  
 

Confidence Interval Construction for Multivariate time series using Long Short Term Memory Network

Aryan Bhambu and Arabin Kumar Dey

Papers from arXiv.org

Abstract: 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 $500$ and Dow Jones Index datasets.

Date: 2022-11
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/2211.13915 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2211.13915

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2023-01-12
Handle: RePEc:arx:papers:2211.13915