Skip to content

ChristianKohlberg/quantile_lstm

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

4 Commits
 
 
 
 

Repository files navigation

Installation

make sure to have all packages properly installed. You can invoke the keras backend installation using install_keras().

Usage

the code is taken from: http://www.business-science.io/timeseries-analysis/2018/04/18/keras-lstm-sunspots-time-series-prediction.html

The model has been given a custom loss function for quantile regression (pinball loss function as approximation to be exactly).

It was designed as a proof of concept of implementing asymmetric cost functions in lstm models.

Further work

for now the model only take a single feature as input. Incorporating more lags and summary statistics will likely improve the model further.

About

No description, website, or topics provided.

Resources

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published

Languages