Name of Quantlet: SHAP_LSTM

Published in: Published in: Watt did you expect?

Description: This Quantlet computes the SHAP value for AR3 models trained in a rolling window fashion. It can take a dataframe containing specific window sizes for different time points that are calculated using LPA_AR

Keywords: time series, LSTM, SHAP, plot

Author: Raul Cristian Bag, Stefan Lessmann, Daniel Traian Pele, Wolfgang Karl Härdle

Datafile: data.csv