[Talks@IDSIA] Cancelled: Talk of Andrey Shternshis (Scuola Normale Superiore di Pisa) on "Forecasting quantiles with reservoir computers and time-varying regimes of entropy"

Dear all, Unfortunately, the talk scheduled for tomorrow (5 April) is cancelled. Best wishes, Laura ––––––––––––––––––––––––––––––– http://people.idsia.ch/~laura.azzimonti/ On 3 Apr 2023, at 11:29, IDSIA Announcements of talks at IDSIA <talks(a)lists.idsia.ch&gt; wrote: Dear all, On 5 April at 14:30, Andrey Shternshis will give a talk in room C2.09. Title Forecasting quantiles with reservoir computers and time-varying regimes of entropy Abstract I present a machine learning approach for predicting quantiles of time series. Reservoir computers are designed with the quantile loss function to forecast quantiles associated with different probability levels. I compare Reservoir computing approach with a known statistical approach proposed by Engle and Manganelli (CAViaR, 2004). First, I do a comparison analysis for data simulated by a random logistic map. Then, I compare the mentioned methods on financial time series. I show that the machine learning approach based on recurrent neural networks outperforms the statistical approach especially when a signal-noise ratio is relatively high. In the second part of the presentation, I will give some results related to my thesis topic. Real-world systems may be in general non stationary, with an entropy value that is not constant in time. We propose a hypothesis testing procedure to test the null hypothesis of constant Shannon entropy for time series, against the alternative of a significant variation of the entropy between two subsequent periods. We find the optimal length of the rolling window used for estimating the time-varying Shannon entropy by optimizing a novel criterion. Speaker Andrey Shternshis is a PhD student at Scuola Normale Superiore of Pisa in the field of Computational Methods and Mathematical Models for Sciences and Finance. Best wishes, Laura ––––––––––––––––––––––––––––––– http://people.idsia.ch/~laura.azzimonti/ _______________________________________________ Talks mailing list -- talks(a)lists.idsia.ch To unsubscribe send an email to talks-leave(a)lists.idsia.ch