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Macroeconomic forecasting with LSTM and mixed frequency time series data

arXiv.org Machine Learning

This paper demonstrates the potentials of the long short-term memory (LSTM) when applyingwith macroeconomic time series data sampled at different frequencies. We first present how theconventional LSTM model can be adapted to the time series observed at mixed frequencies when thesame mismatch ratio is applied for all pairs of low-frequency output and higher-frequency variable. Togeneralize the LSTM to the case of multiple mismatch ratios, we adopt the unrestricted Mixed DAtaSampling (U-MIDAS) scheme (Foroni et al., 2015) into the LSTM architecture. We assess via bothMonte Carlo simulations and empirical application the out-of-sample predictive performance. Ourproposed models outperform the restricted MIDAS model even in a set up favorable to the MIDASestimator. For real world application, we study forecasting a quarterly growth rate of Thai realGDP using a vast array of macroeconomic indicators both quarterly and monthly. Our LSTM withU-MIDAS scheme easily beats the simple benchmark AR(1) model at all horizons, but outperformsthe strong benchmark univariate LSTM only at one and six months ahead. Nonetheless, we find thatour proposed model could be very helpful in the period of large economic downturns for short-termforecast. Simulation and empirical results seem to support the use of our proposed LSTM withU-MIDAS scheme to nowcasting application.


Learning from Small Samples: Transformation-Invariant SVMs with Composition and Locality at Multiple Scales

arXiv.org Machine Learning

Motivated by the problem of learning when the number of training samples is small, this paper shows how to incorporate into support-vector machines (SVMs) those properties that have made convolutional neural networks (CNNs) successful. Particularly important is the ability to incorporate domain knowledge of invariances, e.g., translational invariance of images. Kernels based on the \textit{minimum} distance over a group of transformations, which corresponds to defining similarity as the \textit{best} over the possible transformations, are not generally positive definite. Perhaps it is for this reason that they have neither previously been experimentally tested for their performance nor studied theoretically. Instead, previous attempts have employed kernels based on the \textit{average} distance over a group of transformations, which are trivially positive definite, but which generally yield both poor margins as well as poor performance, as we show. We address this lacuna and show that positive definiteness indeed holds \textit{with high probability} for kernels based on the minimum distance in the small training sample set regime of interest, and that they do yield the best results in that regime. Another important property of CNNs is their ability to incorporate local features at multiple spatial scales, e.g., through max pooling. A third important property is their ability to provide the benefits of composition through the architecture of multiple layers. We show how these additional properties can also be embedded into SVMs. We verify through experiments on widely available image sets that the resulting SVMs do provide superior accuracy in comparison to well-established deep neural network (DNN) benchmarks for small sample sizes.


KI-MERZ-AI. Volume 1.

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GPT-2 and GPT-3, are based on the Transformer Network, which is working with self-attention, i.e. it creates texts with inner coherence and logic. Why not training GPT-2 on MERZ Journals and creatingโ€ฆ


Artificial Intelligence vs Machine Learning vs Deep Learning

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The above is a hot topic, yet at the same time, for some, an excruciatingly confusing one. It isn't always a case of buzz words having precise meanings, and sometimes they may have an element of smudging in them โ€“ perhaps due to the overlap of the terms at play. Now, such is the case when it comes to Artificial Intelligence (AI), Machine Learning (ML), and of course, the seemingly newer one, Deep Learning, which ironically enough is not known as DL mostly, unlike its counterparts. Maybe, just maybe, it is too deep for it. People think AI, ML, and Deep Learning are separate entities, and they may be justified in feeling that way.


Mathematical Foundations of Machine Learning

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To be a good data scientist, you need to know how to use data science and machine learning libraries and algorithms, such as Scikit-learn, TensorFlow, and PyTorch, to solve whatever problem you have at hand. To be an excellent data scientist, you need to know how those libraries and algorithms work under the hood. This is where our "Machine Learning & Data Science Foundations Masterclass" comes in. Led by deep learning guru Dr. Jon Krohn, this course provides a firm grasp of the underlying mathematics, such as linear algebra, tensors, and eigenvectors, that operate behind the most important Python libraries, machine learning algorithms, and data science models. While the above sections constitute a standalone, introductory course on linear algebra all on their own, we're not stopping there!


Tensorflow 2.0: Deep Learning and Artificial Intelligence

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It's been nearly 4 years since Tensorflow was released, and the library has evolved to its official second version. Tensorflow is Google's library for deep learning and artificial intelligence. Tensorflow is the world's most popular library for deep learning, and it's built by Google, whose parent Alphabet recently became the most cash-rich company in the world (just a few days before I wrote this). It is the library of choice for many companies doing AI and machine learning. In other words, if you want to do deep learning, you gotta know Tensorflow.


DEEP LEARNING LIBRARIES

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Here I am going to share about various Deep Learning Libraries, among them some are very popular and some are very impressive at older times. They are very popular because of their features and properties. If you want to know something about Deep Learning Libraries read this post, you won't get disappointed. The libraries which are going to be discussed are THEANO, TENSER FLOW, PYTORCH, and KERAS. THEANO:- A Library developed my Montreal Institute for learning algorithms and was the major library for deep learning development even before Tenser flow and Pytorch. The founder can't maintain it, so lost its popularity.


How does Transfer Learning work?

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The simple idea of transfer learning is, After Neural Network learned from one task, apply that knowledge to another related task. It is a powerful idea in Deep Learning. You all know in Computer vision and Natural Language Processing tasks required high computational costs and time. So, we can simplify those tasks using Transfer Learning. For example, after we trained a model using images to classify Cars, then that model we can use to recognize other vehicles like trucks.


Skill View

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Best place to fast track your AI, Machine Learning and Deep Learning knowledge. Log in as paid member to view content. Leave us a message with the url to report any errors. We can add this to your journey to view.


Google Introduces Families of Neural Networks To Train Faster, SOTA Performance

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Google AI research team recently introduced two families of neural networks for image recognition -- EfficientNetV2 and CoAtNet. While EffcientNetV2 consists of CNNs with a small-scale dataset for faster training efficiency like ImageNet1K (with 1.28 million images), CoAtNet combines convolution and self-attention to achieve higher accuracy on large-scale datasets like ImageNet21 (13 million images) and JFT (3 billion images). As per Google, EfficientNetV2 and CoAtNet are four to ten times faster while achieving SOTA and 90.88 per cent top-1 accuracy on the well-established ImageNet dataset. In addition to this, the team has also released the source code and pretrained models on the Google AutoML GitHub. Training efficiency has become a critical focus for deep learning with neural network models, and training data size grows. For instance, GPT-3 shows remarkable capabilities in few-shot learning, but it needs weeks of training with hundreds and thousands of GPUs, making it difficult to retrain or improve.