L. Nagy

collaborators

2 papers

stat.CO2025

$w hi ttl e h u r s t$ : A Python package implementing Whittle's likelihood estimation of the Hurst exponent

BÃ¡lint CsanÃ¡dy, LÃ³rÃ¡nt Nagy, AndrÃ¡s LukÃ¡cs

This paper presents $w hi ttl e h u r s t$ , a Python package implementing Whittle's likelihood method for estimating the Hurst exponent in fractional Brownian motion (fBm). While the theor…

cs.LG2024

Parameter Estimation of Long Memory Stochastic Processes with Deep Neural Networks

BÃ¡lint CsanÃ¡dy, LÃ³rÃ¡nt Nagy, DÃ¡niel Boros +5

We present a purely deep neural network-based approach for estimating long memory parameters of time series models that incorporate the phenomenon of long-range dependence. Paramet…

whittlehurst: A Python package implementing Whittle's likelihood estimation of the Hurst exponent

Parameter Estimation of Long Memory Stochastic Processes with Deep Neural Networks

$w hi ttl e h u r s t$ : A Python package implementing Whittle's likelihood estimation of the Hurst exponent