LSTMAutoencoder: LSTMAutoencoder

In jdestefani/ExtendedDFML: Extended Dynamic Factor Machine Learner

Description

Auxiliary function defining a LSTM autoencoder model with one hidden layer

Usage

LSTMAutoencoder(X, latent_dim = 3, time_window = 5)

Arguments

X	nxN matrix containing the N time series as columns, each one of length n time steps
latent_dim	Number of LSTM cells in the hidden layer - numeric scalar
time_window	Size of time window (in time steps) for embedding - numeric scalar

Value

List containing:

• autoencoder: Fitted autoencoder model (full model) - Keras object

• encoder: Encoder part of the autoencoder model (Original space -> Latent Dimensions) - Keras object

• decoder: Decoder part of the autoencoder model (Latent Dimensions -> Original space) - Keras object

jdestefani/ExtendedDFML documentation built on Dec. 20, 2021, 10:04 p.m.