most citedDeep learning the Hurst parameter of linear fractional processes and assessing its reliability

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cs.LG2024

Parameter Estimation of Long Memory Stochastic Processes with Deep Neural Networks

Bálint Csanády, Lóránt Nagy, Dániel 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…