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dhopp1 / nowcast_lstm

LSTM neural networks for nowcasting economic data.
MIT License
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ARDL and LSTM #4

Closed AZFARHAD24511 closed 10 months ago

AZFARHAD24511 commented 10 months ago

The integration of ARMA (AutoRegressive Moving Average) models with LSTM (Long Short-Term Memory) models is a known approach in time series forecasting. ARMA models capture linear dependencies in time series data, while LSTM models are effective at capturing non-linear and sequential patterns. Combining them can potentially improve forecasting accuracy. Regarding your mention of ARDL (AutoRegressive Distributed Lag), VAR (Vector AutoRegression), and GARCH (Generalized AutoRegressive Conditional Heteroskedasticity) models with LSTM, it's possible to explore such combinations, but it largely depends on the specific characteristics of your data and the forecasting objectives. the question is that is it possible to set hybrid model(ARDL-LSTM, GHARGH-LSTM, VAR-LSTM)?

dhopp1 commented 10 months ago

Currently the library doesn't support any hybrid model, but thanks very much for bringing these up. This is definitely a direction I will explore in the future to hopefully expand the library in the future.