Martyna Wiącek

Neural Network-Based Estimation of Time-Dependent Parameters in AR(p) Processes

Agnieszka Kopeć, Paweł Przybyłowicz, Martyna Wiącek

We investigate a forecasting framework based on a simple discrete-time dynamic model with coefficients varying in time. The parameters of the model are recovered within a deep learning framework, which makes it possible to retain a transparent parametric structure while simultane…Read more