Lee and Carter go Machine Learning: Recurrent Neural Networks

Abstract

In this tutorial we introduce recurrent neural networks (RNNs), and we describe the two most popular RNN architectures. These are the long short-term memory (LSTM) network and gated recurrent unit (GRU) network. Their common field of application is time series modeling, and we demonstrate their use on a mortality rate prediction problem using data from the Swiss female and male populations.

Keywords: recurrent neural network (RNN), long short-term memory (LSTM), gated recurrent unit (GRU), Lee-Carter (LC) model, mortality forecasting, feed-forward neural network (FNN)

JEL Classification: C14, C23, C38, G22, J10