Calypso Herrera

Neural Jump Ordinary Differential Equations: Consistent Continuous-Time Prediction and Filtering

Combinations of neural ODEs with recurrent neural networks (RNN), like GRU-ODE-Bayes or ODE-RNN are well suited to model irregularly observed time series. While those models outperform existing discrete-time approaches, no theoretical guarantees for their predictive capabilities are available. Assum…