publication . Preprint . 2018

An interpretable LSTM neural network for autoregressive exogenous model

Guo, Tian; Lin, Tao; Lu, Yao;
Open Access English
  • Published: 14 Apr 2018
In this paper, we propose an interpretable LSTM recurrent neural network, i.e., multi-variable LSTM for time series with exogenous variables. Currently, widely used attention mechanism in recurrent neural networks mostly focuses on the temporal aspect of data and falls short of characterizing variable importance. To this end, our multi-variable LSTM equipped with tensorized hidden states is developed to learn variable specific representations, which give rise to both temporal and variable level attention. Preliminary experiments demonstrate comparable prediction performance of multi-variable LSTM w.r.t. encoder-decoder based baselines. More interestingly, variab...
free text keywords: Computer Science - Learning, Statistics - Machine Learning
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