A fast noise filtering algorithm for time series prediction using recurrent neural networks

16 Jul 2020  ·  Boris Rubinstein ·

Recent research demonstrate that prediction of time series by recurrent neural networks (RNNs) based on the noisy input generates a smooth anticipated trajectory. We examine the internal dynamics of RNNs and establish a set of conditions required for such behavior... Based on this analysis we propose a new approximate algorithm and show that it significantly speeds up the predictive process without loss of accuracy. read more

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