# 9.1. Working with Sequences¶ Open the notebook in SageMaker Studio Lab

Up until now, we have focused on models whose inputs consisted of a single feature vector \(\mathbf{x} \in \mathbb{R}^d\). The main change of perspective when developing models capable of processing sequences is that we now focus on inputs that consist of an ordered list of feature vectors \(\mathbf{x}_1, \dots, \mathbf{x}_T\), where each feature vector \(\mathbf{x}_t\) indexed by a time step \(t \in \mathbb{Z}^+\) lies in \(\mathbb{R}^d\).

Some datasets consist of a single massive sequence. Consider, for example, the extremely long streams of sensor readings that might be available to climate scientists. In such cases, we might create training datasets by randomly sampling subsequences of some predetermined length. More often, our data arrives as a collection of sequences. Consider the following examples: (i) a collection of documents, each represented as its own sequence of words, and each having its own length \(T_i\); (ii) sequence representation of patient stays in the hospital, where each stay consists of a number of events and the sequence length depends roughly on the length of the stay.

Previously, when dealing with individual inputs, we assumed that they were sampled independently from the same underlying distribution \(P(X)\). While we still assume that entire sequences (e.g., entire documents or patient trajectories) are sampled independently, we cannot assume that the data arriving at each time step are independent of each other. For example, what words are likely to appear later in a document depends heavily on what words occurred earlier in the document. What medicine a patient is likely to receive on the 10th day of a hospital visit depends heavily on what transpired in the previous nine days.

This should come as no surprise. If we did not believe that the elements in a sequence were related, we would not have bothered to model them as a sequence in the first place. Consider the usefulness of the auto-fill features that are popular on search tools and modern email clients. They are useful precisely because it is often possible to predict (imperfectly, but better than random guessing) what likely continuations of a sequence might be, given some initial prefix. For most sequence models, we do not require independence, or even stationarity, of our sequences. Instead, we require only that the sequences themselves are sampled from some fixed underlying distribution over entire sequences.

This flexible approach, allows for such phenomena as (i) documents looking significantly different at the beginning than at the end, or (ii) patient status evolving either towards recovery or towards death over the course of a hospital stay; and (iii) customer taste evolving in predictable ways over course of continued interaction with a recommender system.

We sometimes wish to predict a fixed target \(y\) given sequentially
structured input (e.g., sentiment classification based on a movie
review). At other times, we wish to predict a sequentially structured
target (\(y_1, \ldots, y_T\)) given a fixed input (e.g., image
captioning). Still other times, our goal is to predict sequentially
structured targets based on sequentially structured inputs (e.g.,
machine translation or video captioning). Such sequence-to-sequence
tasks take two forms: (i) **aligned**: where the input at each time step
aligns with a corresponding target (e.g., part of speech tagging); (ii)
**unaligned**: where the input and target do not necessarily exhibit a
step-for-step correspondence (e.g., machine translation).

Before we worry about handling targets of any kind, we can tackle the
most straightforward problem: unsupervised density modeling (also called
*sequence modeling*). Here, given a collection of sequences, our goal is
to estimate the probability mass function that tells us how likely we
are to see any given sequence, i.e.,
\(p(\mathbf{x}_1, \ldots, \mathbf{x}_T)\).

```
%matplotlib inline
import torch
from torch import nn
from d2l import torch as d2l
```

```
%matplotlib inline
from mxnet import autograd, gluon, init, np, npx
from mxnet.gluon import nn
from d2l import mxnet as d2l
npx.set_np()
```

```
%matplotlib inline
import jax
import numpy as np
from jax import numpy as jnp
from d2l import jax as d2l
```

```
No GPU/TPU found, falling back to CPU. (Set TF_CPP_MIN_LOG_LEVEL=0 and rerun for more info.)
```

```
%matplotlib inline
import tensorflow as tf
from d2l import tensorflow as d2l
```

## 9.1.1. Autoregressive Models¶

Before introducing specialized neural networks designed to handle
sequentially structured data, let’s take a look at some actual sequence
data and build up some basic intuitions and statistical tools. In
particular, we will focus on stock price data from the FTSE 100 index
(Fig. 9.1.1). At each *time step*
\(t \in \mathbb{Z}^+\), we observe the price of the index at that
time, denoted by \(x_t\).

Now suppose that a trader would like to make short term trades, strategically getting into or out of the index, depending on whether they believe that it will rise or decline in the subsequent time step. Absent any other features (news, financial reporting data, etc.), the only available signal for predicting the subsequent value is the history of prices to date. The trader is thus interested in knowing the probability distribution

over prices that the index might take in the subsequent time step. While estimating the entire distribution over a continuous-valued random variable can be difficult, the trader would be happy to focus on a few key statistics of the distribution, particularly the expected value and the variance. One simple strategy for estimating the conditional expectation

would be to apply a linear regression model (recall
Section 3.1). Such models that regress the value
of a signal on the previous values of that same signal are naturally
called *autoregressive models*. There is just one major problem: the
number of inputs, \(x_{t-1}, \ldots, x_1\) varies, depending on
\(t\). Namely, the number of inputs increases with the amount of
data that we encounter. Thus if we want to treat our historical data as
a training set, we are left with the problem that each example has a
different number of features. Much of what follows in this chapter will
revolve around techniques for overcoming these challenges when engaging
in such *autoregressive* modeling problems where the object of interest
is \(P(x_t \mid x_{t-1}, \ldots, x_1)\) or some statistic(s) of this
distribution.

A few strategies recur frequently. First of all, we might believe that
although long sequences \(x_{t-1}, \ldots, x_1\) are available, it
may not be necessary to look back so far in the history when predicting
the near future. In this case we might content ourselves to condition on
some window of length \(\tau\) and only use
\(x_{t-1}, \ldots, x_{t-\tau}\) observations. The immediate benefit
is that now the number of arguments is always the same, at least for
\(t > \tau\). This allows us to train any linear model or deep
network that requires fixed-length vectors as inputs. Second, we might
develop models that maintain some summary \(h_t\) of the past
observations (see Fig. 9.1.2) and at the same time
update \(h_t\) in addition to the prediction \(\hat{x}_t\). This
leads to models that estimate \(x_t\) with
\(\hat{x}_t = P(x_t \mid h_{t})\) and moreover updates of the form
\(h_t = g(h_{t-1}, x_{t-1})\). Since \(h_t\) is never observed,
these models are also called *latent autoregressive models*.

To construct training data from historical data, one typically creates
examples by sampling windows randomly. In general, we do not expect time
to stand still. However, we often assume that while the specific values
of \(x_t\) might change, the dynamics according to which each
subsequent observation is generated given the previous observations do
not. Statisticians call dynamics that do not change *stationary*.

## 9.1.2. Sequence Models¶

Sometimes, especially when working with language, we wish to estimate
the joint probability of an entire sequence. This is a common task when
working with sequences composed of discrete *tokens*, such as words.
Generally, these estimated functions are called *sequence models* and
for natural language data, they are called *language models*. The field
of sequence modeling has been driven so much by natural language
processing, that we often describe sequence models as “language models”,
even when dealing with non-language data. Language models prove useful
for all sorts of reasons. Sometimes we want to evaluate the likelihood
of sentences. For example, we might wish to compare the naturalness of
two candidate outputs generated by a machine translation system or by a
speech recognition system. But language modeling gives us not only the
capacity to *evaluate* likelihood, but the ability to *sample*
sequences, and even to optimize for the most likely sequences.

While language modeling might not look, at first glance, like an autoregressive problem, we can reduce language modeling to autoregressive prediction by decomposing the joint density of a sequence \(p(x_t \mid x_1, \ldots, x_T)\) into the product of conditional densities in a left-to-right fashion by applying the chain rule of probability:

Note that if we are working with discrete signals like words, then the autoregressive model must be a probabilistic classifier, outputting a full probability distribution over the vocabulary for what word will come next, given the leftwards context.

### 9.1.2.1. Markov Models¶

Now suppose that we wish to employ the strategy mentioned above, where
we condition only on the \(\tau\) previous time steps, i.e.,
\(x_{t-1}, \ldots, x_{t-\tau}\), rather than the entire sequence
history \(x_{t-1}, \ldots, x_1\). Whenever we can throw away the
history beyond the precious \(\tau\) steps without any loss in
predictive power, we say that the sequence satisfies a *Markov
condition*, i.e., *that the future is conditionally independent of the
past, given the recent history*. When \(\tau = 1\), we say that the
data is characterized by a *first-order Markov model*, and when
\(\tau = k\), we say that the data is characterized by a
\(k\)-th order Markov model. For when the first-order Markov
condition holds (\(\tau = 1\)) the factorization of our joint
probability becomes a product of probabilities of each word given the
previous *word*:

We often find it useful to work with models that proceed as though a
Markov condition were satisfied, even when we know that this is only
*approximately* true. With real text documents we continue to gain
information as we include more and more leftwards context. But these
gains diminish rapidly. Thus, sometimes we compromise, obviating
computational and statistical difficulties by training models whose
validity depends on a \(k\)-th order Markov condition. Even today’s
massive RNN- and Transformer-based language models seldom incorporate
more than thousands of words of context.

With discrete data, a true Markov model simply counts the number of times that each word has occurred in each context, producing the relative frequency estimate of \(P(x_t \mid x_{t-1})\). Whenever the data assumes only discrete values (as in language), the most likely sequence of words can be computed efficiently using dynamic programming.

### 9.1.2.2. The Order of Decoding¶

You might be wondering, why did we have to represent the factorization of a text sequence \(P(x_1, \ldots, x_T)\) as a left-to-right chain of conditional probabilities. Why not right-to-left or some other, seemingly random order? In principle, there is nothing wrong with unfolding \(P(x_1, \ldots, x_T)\) in reverse order. The result is a valid factorization:

However, there are many reasons why factorizing text in the same directions as we read it (left-to-right for most languages, but right-to-left for Arabic and Hebrew) is preferred for the task of language modeling. First, this is just a more natural direction for us to think about. After all we all read text every day, and this process is guided by our ability to anticipate what words and phrases are likely to come next. Just think of how many times you have completed someone else’s sentence. Thus, even if we had no other reason to prefer such in-order decodings, they would be useful if only because we have better intuitions for what should be likely when predicting in this order.

Second, by factorizing in order, we can assign probabilities to arbitrarily long sequences using the same language model. To convert a probability over steps \(1\) through \(t\) into one that extends to word \(t+1\) we simply multiply by the conditional probability of the additional token given the previous ones: \(P(x_{t+1}, \ldots, x_1) = P(x_{t}, \ldots, x_1) \cdot P(x_{t+1} \mid x_{t}, \ldots, x_1)\).

Third, we have stronger predictive models for predicting adjacent words
versus words at arbitrary other locations. While all orders of
factorization are valid, they do not necessarily all represent equally
easy predictive modeling problems. This is true not only for language,
but for other kinds of data as well, e.g., when the data is causally
structured. For example, we believe that future events cannot influence
the past. Hence, if we change \(x_t\), we may be able to influence
what happens for \(x_{t+1}\) going forward but not the converse.
That is, if we change \(x_t\), the distribution over past events
will not change. In some contexts, this makes it easier to predict
\(P(x_{t+1} \mid x_t)\) than to predict \(P(x_t \mid x_{t+1})\).
For instance, in some cases, we can find
\(x_{t+1} = f(x_t) + \epsilon\) for some additive noise
\(\epsilon\), whereas the converse is not true
(Hoyer *et al.*, 2009). This is great news, since it is
typically the forward direction that we are interested in estimating.
The book by Peters *et al.* (2017) has explained more
on this topic. We are barely scratching the surface of it.

## 9.1.3. Training¶

Before we focus our attention on text data, let’s first try this out with some continuous-valued synthetic data.

Here, our 1000 synthetic data will follow the trigonometric `sin`

function, applied to 0.01 times the time step. To make the problem a
little more interesting, we corrupt each sample with additive noise.
From this sequence we extract training examples, each consisting of
features and a label.

```
class Data(d2l.DataModule):
def __init__(self, batch_size=16, T=1000, num_train=600, tau=4):
self.save_hyperparameters()
self.time = torch.arange(1, T + 1, dtype=torch.float32)
self.x = torch.sin(0.01 * self.time) + torch.randn(T) * 0.2
data = Data()
d2l.plot(data.time, data.x, 'time', 'x', xlim=[1, 1000], figsize=(6, 3))
```

```
class Data(d2l.DataModule):
def __init__(self, batch_size=16, T=1000, num_train=600, tau=4):
self.save_hyperparameters()
self.time = np.arange(1, T + 1, dtype=np.float32)
self.x = np.sin(0.01 * self.time) + np.random.randn(T) * 0.2
data = Data()
d2l.plot(data.time, data.x, 'time', 'x', xlim=[1, 1000], figsize=(6, 3))
```

```
class Data(d2l.DataModule):
def __init__(self, batch_size=16, T=1000, num_train=600, tau=4):
self.save_hyperparameters()
self.time = jnp.arange(1, T + 1, dtype=jnp.float32)
key = d2l.get_key()
self.x = jnp.sin(0.01 * self.time) + jax.random.normal(key,
[T]) * 0.2
data = Data()
d2l.plot(data.time, data.x, 'time', 'x', xlim=[1, 1000], figsize=(6, 3))
```

```
class Data(d2l.DataModule):
def __init__(self, batch_size=16, T=1000, num_train=600, tau=4):
self.save_hyperparameters()
self.time = tf.range(1, T + 1, dtype=tf.float32)
self.x = tf.sin(0.01 * self.time) + tf.random.normal([T]) * 0.2
data = Data()
d2l.plot(data.time, data.x, 'time', 'x', xlim=[1, 1000], figsize=(6, 3))
```

To begin, we try a model that acts as though the data satisfied a \(\tau\)-order Markov condition, and thus predicts \(x_t\) using only the past \(\tau\) observations. Thus for each time step we have an example with label \(y = x_t\) and features \(\mathbf{x}_t = [x_{t-\tau}, \ldots, x_{t-1}]\). The astute reader might have noticed that this results in \(1000-\tau\) examples, since we lack sufficient history for \(y_1, \ldots, y_\tau\). While we could pad the first \(\tau\) sequences with zeros, to keep things simple, we drop them for now. The resulting dataset contains \(T - \tau\) examples, where each input to the model has sequence length \(\tau\). We create a data iterator on the first 600 examples, covering a period of the sin function.

```
@d2l.add_to_class(Data)
def get_dataloader(self, train):
features = [self.x[i : self.T-self.tau+i] for i in range(self.tau)]
self.features = torch.stack(features, 1)
self.labels = self.x[self.tau:].reshape((-1, 1))
i = slice(0, self.num_train) if train else slice(self.num_train, None)
return self.get_tensorloader([self.features, self.labels], train, i)
```

```
@d2l.add_to_class(Data)
def get_dataloader(self, train):
features = [self.x[i : self.T-self.tau+i] for i in range(self.tau)]
self.features = np.stack(features, 1)
self.labels = self.x[self.tau:].reshape((-1, 1))
i = slice(0, self.num_train) if train else slice(self.num_train, None)
return self.get_tensorloader([self.features, self.labels], train, i)
```

```
@d2l.add_to_class(Data)
def get_dataloader(self, train):
features = [self.x[i : self.T-self.tau+i] for i in range(self.tau)]
self.features = jnp.stack(features, 1)
self.labels = self.x[self.tau:].reshape((-1, 1))
i = slice(0, self.num_train) if train else slice(self.num_train, None)
return self.get_tensorloader([self.features, self.labels], train, i)
```

```
@d2l.add_to_class(Data)
def get_dataloader(self, train):
features = [self.x[i : self.T-self.tau+i] for i in range(self.tau)]
self.features = tf.stack(features, 1)
self.labels = tf.reshape(self.x[self.tau:], (-1, 1))
i = slice(0, self.num_train) if train else slice(self.num_train, None)
return self.get_tensorloader([self.features, self.labels], train, i)
```

In this example our model will be a standard linear regression.

```
model = d2l.LinearRegression(lr=0.01)
trainer = d2l.Trainer(max_epochs=5)
trainer.fit(model, data)
```

```
model = d2l.LinearRegression(lr=0.01)
trainer = d2l.Trainer(max_epochs=5)
trainer.fit(model, data)
```

```
model = d2l.LinearRegression(lr=0.01)
trainer = d2l.Trainer(max_epochs=5)
trainer.fit(model, data)
```

```
model = d2l.LinearRegression(lr=0.01)
trainer = d2l.Trainer(max_epochs=5)
trainer.fit(model, data)
```

## 9.1.4. Prediction¶

To evaluate our model, we first check how well our model performs at one-step-ahead prediction.

```
onestep_preds = model(data.features).detach().numpy()
d2l.plot(data.time[data.tau:], [data.labels, onestep_preds], 'time', 'x',
legend=['labels', '1-step preds'], figsize=(6, 3))
```

```
onestep_preds = model(data.features).asnumpy()
d2l.plot(data.time[data.tau:], [data.labels, onestep_preds], 'time', 'x',
legend=['labels', '1-step preds'], figsize=(6, 3))
```

```
onestep_preds = model.apply({'params': trainer.state.params}, data.features)
d2l.plot(data.time[data.tau:], [data.labels, onestep_preds], 'time', 'x',
legend=['labels', '1-step preds'], figsize=(6, 3))
```

```
onestep_preds = model(data.features).numpy()
d2l.plot(data.time[data.tau:], [data.labels, onestep_preds], 'time', 'x',
legend=['labels', '1-step preds'], figsize=(6, 3))
```

The one-step-ahead predictions look good, even near the end \(t=1000\).

Now consider, what if we only observed sequence data up until time step
604 (`n_train + tau`

) but wished to make predictions several steps
into the future. Unfortunately, we cannot directly compute the
one-step-ahead prediction for time step 609, because we do not know the
corresponding inputs, having seen only up to \(x_{604}\). We can
address this problem by plugging in our earlier predictions as inputs to
our model for making subsequent predictions, projecting forward, one
step at a time, until reaching the desired time step:

Generally, for an observed sequence \(x_1, \ldots, x_t\), its
predicted output \(\hat{x}_{t+k}\) at time step \(t+k\) is
called the \(k\)*-step-ahead prediction*. Since we have observed
up to \(x_{604}\), its \(k\)-step-ahead prediction is
\(\hat{x}_{604+k}\). In other words, we will have to keep on using
our own predictions to make multistep-ahead predictions. Let’s see how
well this goes.

```
multistep_preds = torch.zeros(data.T)
multistep_preds[:] = data.x
for i in range(data.num_train + data.tau, data.T):
multistep_preds[i] = model(
multistep_preds[i - data.tau:i].reshape((1, -1)))
multistep_preds = multistep_preds.detach().numpy()
d2l.plot([data.time[data.tau:], data.time[data.num_train+data.tau:]],
[onestep_preds, multistep_preds[data.num_train+data.tau:]], 'time',
'x', legend=['1-step preds', 'multistep preds'], figsize=(6, 3))
```

```
multistep_preds = np.zeros(data.T)
multistep_preds[:] = data.x
for i in range(data.num_train + data.tau, data.T):
multistep_preds[i] = model(
multistep_preds[i - data.tau:i].reshape((1, -1)))
multistep_preds = multistep_preds.asnumpy()
d2l.plot([data.time[data.tau:], data.time[data.num_train+data.tau:]],
[onestep_preds, multistep_preds[data.num_train+data.tau:]], 'time',
'x', legend=['1-step preds', 'multistep preds'], figsize=(6, 3))
```

```
multistep_preds = jnp.zeros(data.T)
multistep_preds = multistep_preds.at[:].set(data.x)
for i in range(data.num_train + data.tau, data.T):
pred = model.apply({'params': trainer.state.params},
multistep_preds[i - data.tau:i].reshape((1, -1)))
multistep_preds = multistep_preds.at[i].set(pred.item())
d2l.plot([data.time[data.tau:], data.time[data.num_train+data.tau:]],
[onestep_preds, multistep_preds[data.num_train+data.tau:]], 'time',
'x', legend=['1-step preds', 'multistep preds'], figsize=(6, 3))
```

```
multistep_preds = tf.Variable(tf.zeros(data.T))
multistep_preds[:].assign(data.x)
for i in range(data.num_train + data.tau, data.T):
multistep_preds[i].assign(tf.reshape(model(
tf.reshape(multistep_preds[i-data.tau : i], (1, -1))), ()))
d2l.plot([data.time[data.tau:], data.time[data.num_train+data.tau:]],
[onestep_preds, multistep_preds[data.num_train+data.tau:]], 'time',
'x', legend=['1-step preds', 'multistep preds'], figsize=(6, 3))
```

Unfortunately, in this case we fail spectacularly. The predictions decay
to a constant pretty quickly after a few prediction steps. Why did the
algorithm perform so much worse when predicting further into the future?
Ultimately, this owes to the fact that errors build up. Let’s say that
after step 1 we have some error \(\epsilon_1 = \bar\epsilon\). Now
the *input* for step 2 is perturbed by \(\epsilon_1\), hence we
suffer some error in the order of
\(\epsilon_2 = \bar\epsilon + c \epsilon_1\) for some constant
\(c\), and so on. The predictions can diverge rapidly from the true
observations. You may already be familiar with this common phenomenon.
For instance, weather forecasts for the next 24 hours tend to be pretty
accurate but beyond that, accuracy declines rapidly. We will discuss
methods for improving this throughout this chapter and beyond.

Let’s take a closer look at the difficulties in \(k\)-step-ahead predictions by computing predictions on the entire sequence for \(k = 1, 4, 16, 64\).

```
def k_step_pred(k):
features = []
for i in range(data.tau):
features.append(data.x[i : i+data.T-data.tau-k+1])
# The (i+tau)-th element stores the (i+1)-step-ahead predictions
for i in range(k):
preds = model(torch.stack(features[i : i+data.tau], 1))
features.append(preds.reshape(-1))
return features[data.tau:]
steps = (1, 4, 16, 64)
preds = k_step_pred(steps[-1])
d2l.plot(data.time[data.tau+steps[-1]-1:],
[preds[k - 1].detach().numpy() for k in steps], 'time', 'x',
legend=[f'{k}-step preds' for k in steps], figsize=(6, 3))
```

```
def k_step_pred(k):
features = []
for i in range(data.tau):
features.append(data.x[i : i+data.T-data.tau-k+1])
# The (i+tau)-th element stores the (i+1)-step-ahead predictions
for i in range(k):
preds = model(np.stack(features[i : i+data.tau], 1))
features.append(preds.reshape(-1))
return features[data.tau:]
steps = (1, 4, 16, 64)
preds = k_step_pred(steps[-1])
d2l.plot(data.time[data.tau+steps[-1]-1:],
[preds[k - 1].asnumpy() for k in steps], 'time', 'x',
legend=[f'{k}-step preds' for k in steps], figsize=(6, 3))
```

```
def k_step_pred(k):
features = []
for i in range(data.tau):
features.append(data.x[i : i+data.T-data.tau-k+1])
# The (i+tau)-th element stores the (i+1)-step-ahead predictions
for i in range(k):
preds = model.apply({'params': trainer.state.params},
jnp.stack(features[i : i+data.tau], 1))
features.append(preds.reshape(-1))
return features[data.tau:]
steps = (1, 4, 16, 64)
preds = k_step_pred(steps[-1])
d2l.plot(data.time[data.tau+steps[-1]-1:],
[np.asarray(preds[k-1]) for k in steps], 'time', 'x',
legend=[f'{k}-step preds' for k in steps], figsize=(6, 3))
```

```
def k_step_pred(k):
features = []
for i in range(data.tau):
features.append(data.x[i : i+data.T-data.tau-k+1])
# The (i+tau)-th element stores the (i+1)-step-ahead predictions
for i in range(k):
preds = model(tf.stack(features[i : i+data.tau], 1))
features.append(tf.reshape(preds, -1))
return features[data.tau:]
steps = (1, 4, 16, 64)
preds = k_step_pred(steps[-1])
d2l.plot(data.time[data.tau+steps[-1]-1:],
[preds[k - 1].numpy() for k in steps], 'time', 'x',
legend=[f'{k}-step preds' for k in steps], figsize=(6, 3))
```

This clearly illustrates how the quality of the prediction changes as we try to predict further into the future. While the 4-step-ahead predictions still look good, anything beyond that is almost useless.

## 9.1.5. Summary¶

There is quite a difference in difficulty between interpolation and
extrapolation. Consequently, if you have a sequence, always respect the
temporal order of the data when training, i.e., never train on future
data. Given this kind of data, sequence models require specialized
statistical tools for estimation. Two popular choices are autoregressive
models and latent-variable autoregressive models. For causal models
(e.g., time going forward), estimating the forward direction is
typically a lot easier than the reverse direction. For an observed
sequence up to time step \(t\), its predicted output at time step
\(t+k\) is the \(k\)*-step-ahead prediction*. As we predict
further in time by increasing \(k\), the errors accumulate and the
quality of the prediction degrades, often dramatically.

## 9.1.6. Exercises¶

Improve the model in the experiment of this section.

Incorporate more than the past 4 observations? How many do you really need?

How many past observations would you need if there was no noise? Hint: you can write \(\sin\) and \(\cos\) as a differential equation.

Can you incorporate older observations while keeping the total number of features constant? Does this improve accuracy? Why?

Change the neural network architecture and evaluate the performance. You may train the new model with more epochs. What do you observe?

An investor wants to find a good security to buy. He looks at past returns to decide which one is likely to do well. What could possibly go wrong with this strategy?

Does causality also apply to text? To which extent?

Give an example for when a latent autoregressive model might be needed to capture the dynamic of the data.