- Bryan Lim, Sercan Arik, Nicolas Loeff and Tomas Pfister. Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting (2019) https://arxiv.org/abs/1912.09363
- https://github.com/KalleBylin/temporal-fusion-transformers/.
DeepVAR
- Fatouros, G., Makridis, G., Kotios, D. et al. DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks. Digit Finance (2022) https://doi.org/10.1007/s42521-022-00050-0
- https://github.com/giorgosfatouros/DeepVaR
DeepAR
- David Salinas, Valentin Flunkert, Jan Gasthaus. DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networks (2019) https://arxiv.org/abs/1704.04110
- https://github.com/zhykoties/TimeSeries
- https://github.com/husnejahan/DeepAR-pytorch