An R implementation of a Recurrent Neural Network Trained by Extended Kalman Filter

Bogdan Oancea (
University of Bucharest
Tudorel Andrei (
The Bucharest University of Economic Studies
Raluca Mariana Dragoescu (
Artifex University of Bucharest


Nowadays there are several techniques used for forecasting with different performances and accuracies. One of the most performant techniques for time series prediction is neural networks. The accuracy of the predictions greatly depends on the network architecture and training method. In this paper we describe an R implementation of a recurrent neural network trained by the Extended Kalman Filter. For the implementation of the network we used the Matrix package that allows efficient vector-matrix and matrix-matrix operations. We tested the performance of our R implementation comparing it with a pure C++ implementation and we showed that R can achieve about 75% of the C++ programs. Considering the other advantages of R, our results recommend R as a serious alternative to classical programming languages for high performance implementations of neural networks.

Keywords: R, neural networks, Extended Kalman Filter
JEL Classification: C10, C88

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Romanian Statistical Review 2/2016