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

Boris Rubinstein

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arXiv · 2007.08063

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

Boris Rubinstein

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Abstract

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.

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Boris Rubinstein. 2020-07-16. A fast noise filtering algorithm for time series prediction using recurrent neural networks. https://arxiv.org/abs/2007.08063

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