Blake LeBaron, Andreas S. Weigend  Home/Search
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Abstract: We present a new method, inspired by the bootstrap, whose goal it is to determine the quality and reliability of a neural network predictor. Our method leads to more robust forecasting along with a large amount of statistical information on forecast performance that we exploit. We exhibit the method in the context of multi-variate time series prediction on financial data from the New York Stock Exchange. It turns out that the variation due to different resamplings (i.e., splits between... (Update)
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.... or simply infeasible to analyze e.g. a large macroeconometric model or a neural net model, as in Rhee(1994) or LeBaron and Weigend(1994). 2 However, the postsample inferential procedures in the existing literature e.g. Ashley, Granger and Schmalensee(1980)...
.... to estimate the entire CTD with connectionist methods (e.g. Mixture Density Networks, Bishop, 1994; fractional binning, Srivastava Weigend, 1994) or with non connectionist methods such as a Monte Carlo on a hidden Markov model (Fraser Dimitriadis, 1994) While non...
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BibTeX entry: (Update)
LeBaron, A. & Weigend, A. (1994), Evaluating neural network predictors by bootstrapping, in `Proceedings of the International Conference on Neural Information Processing (ICONIP'94)', Seoul, Korea. http://citeseer.ist.psu.edu/article/lebaron94evaluating.html More
@misc{ lebaron94evaluating,
author = "A. LeBaron and A. Weigend",
title = "Evaluating neural network predictors by bootstrapping",
text = "LeBaron, A. & Weigend, A. (1994), Evaluating neural network predictors
by bootstrapping, in `Proceedings of the International Conference on Neural
Information Processing (ICONIP'94)', Seoul, Korea.",
year = "1994",
url = "citeseer.ist.psu.edu/article/lebaron94evaluating.html" }
Citations (may not include all citations):546 An Introduction to the Bootstrap (context) - Efron, Tibshirani - 1993
122 Predicting the future: a connectionist approach (context) - Weigend, Huberman et al. - 1990
61 ARCH modeling in finance: A review of the theory and empiric.. (context) - Bollerslev, Chou et al. - 1990
22 Nonlinear dynamic structures (context) - Gallant, Rossi et al. - 1993
16 A comparison of some error estimates for neural network mode.. - Tibshirani - 1994
5 Estimating the mean and variance of the target probability d.. (context) - Weigend, Nix - 1994
5 Computing the probability density in connectionist regressio.. (context) - Srivastava, Weigend - 1994
3 The relation between price changes and trading volume: A sur.. (context) - Karpov - 1987
2 Persistance of the Dow Jones index on rising volume (context) - LeBaron - 1992
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