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stat.ML2026
Neural Network-Based Estimation of Time-Dependent Parameters in AR(p) Processes
Agnieszka Kopeć, Paweł Przybyłowicz, Martyna Wiącek
We investigate a forecasting framework based on a simple discrete-time dynamic model with coefficients varying in time. The parameters of the model are recovered within a deep lear…
stat.ML2023
Deep learning-based estimation of time-dependent parameters in Markov models with application to nonlinear regression and SDEs
Andrzej Kałuża, Paweł M. Morkisz, Bartłomiej Mulewicz +2
We present a novel deep learning method for estimating time-dependent parameters in Markov processes through discrete sampling. Departing from conventional machine learning, our ap…