[SFdS] Information du groupe Risques AEF
WG Risk - 26 April 2024 - Prof. Miguel Atencia

Dear All,

We have the pleasure thanks to the support of the ESSEC IDS dpt, Institut des Actuaires, Fondation des Sciences de la Modélisation (CY - Labex MME-DII), the group Risques AEF (SFdS), to invite you to the seminar by:

Prof. Miguel Atencia
University of Málaga, Spain

Date: Friday, 26 April 2024, at 12:30pm (Paris) and 6:30pm (Singapore)

Dual format: ESSEC Paris La Défense (CNIT), Room 237
and via Zoom, please click here

« Echo State Networks: a recurrent model
for time series forecasting and clustering »

In this expository talk, we will review the Echo State Network (ESN), a recurrent neural network that has achieved good results in time series tasks, such as forecasting, classification, and encoding-decoding. However, the lack of a rigorous mathematical foundation makes difficult their application in a general context. On the one hand, strong theoretical results, such as the Echo State Property and Universal Approximation, are non-constructive and require critical simplifying assumptions. On the other hand, usual heuristics for optimal hyper-parameter selection have turned out to be neither necessary nor sufficient. Some connections of ESN models with ideas from dynamical systems and ergodicity will be exposed, together with recent design proposals, as well as a novel application to time series clustering.

Kind regards,
Jeremy Heng, Olga Klopp, Roberto Reno, and Marie Kratz
and Riada Djebbar (Singapore Actuarial Society - ERM)

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