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arXiv 2004.03797cs.LGstat.ML

Mixture Density Conditional Generative Adversarial Network Models (MD-CGAN)

University of Oxford(牛津大学);Oxford-Man Institute of Quantitative Finance(牛津-曼量化金融研究所)

Jaleh Zand, Stephen Roberts

英文摘要:

Generative Adversarial Networks (GANs) have gained significant attention in recent years, with impressive applications highlighted in computer vision in particular. Compared to such examples, however, there have been more limited applications of GANs to time series modelling, including forecasting. In this work, we present the Mixture Density Conditional Generative Adversarial Model (MD-CGAN), with a focus on time series forecasting. We show that our model is capable of estimating a probabilistic posterior distribution over forecasts and that, in comparison to a set of benchmark methods, the MD-CGAN model performs well, particularly in situations where noise is a significant component of the observed time series. Further, by using a Gaussian mixture model as the output distribution, MD-CGAN offers posterior predictions that are non-Gaussian.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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