Keras misinterprets training data shape

(Edited, according to OP's comment on this question, where they posted this link: https://github.com/fchollet/keras/issues/1920)

Your X is not a single numpy array, it's an array of arrays. (Otherwise its shape would be X.shape=(35730,513,15).

It must be a single numpy array for the fit method. Since you have a variable length, you cannot have a single numpy array containing all your data, you will have to divide it in smaller arrays, each array containing data with the same length.

For that, you should maybe create a dictionary by shape, and loop the dictionary manually (there may be other better ways to do this...):

#code in python 3.5
xByShapes = {}
yByShapes = {}
for itemX,itemY in zip(X,Y):
    if itemX.shape in xByShapes:
        xByShapes[itemX.shape].append(itemX)
        yByShapes[itemX.shape].append(itemY)
    else:
        xByShapes[itemX.shape] = [itemX] #initially a list, because we're going to append items
        yByShapes[itemX.shape] = [itemY]

At the end, you loop this dictionary for training:

for shape in xByShapes:
    model.fit(
              np.asarray(xByShapes[shape]), 
              np.asarray(yByShapes[shape]),...
              )

Masking

Alternatively, you can pad your data so all samples have the same length, using zeros or some dummy value.

Then before anything in your model you can add a Masking layer that will ignore these padded segments. (Warning: some types of layer don't support masking)