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Parameter Estimation of Long Memory Stochastic Processes with Deep Neural Networks

About

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. Parameters, such as the Hurst exponent, are critical in characterizing the long-range dependence, roughness, and self-similarity of stochastic processes. The accurate and fast estimation of these parameters holds significant importance across various scientific disciplines, including finance, physics, and engineering. We harnessed efficient process generators to provide high-quality synthetic training data, enabling the training of scale-invariant 1D Convolutional Neural Networks (CNNs) and Long Short-Term Memory (LSTM) models. Our neural models outperform conventional statistical methods, even those augmented with neural networks. The precision, speed, consistency, and robustness of our estimators are demonstrated through experiments involving fractional Brownian motion (fBm), the Autoregressive Fractionally Integrated Moving Average (ARFIMA) process, and the fractional Ornstein-Uhlenbeck (fOU) process. We believe that our work will inspire further research in the field of stochastic process modeling and parameter estimation using deep learning techniques.

B\'alint Csan\'ady, L\'or\'ant Nagy, D\'aniel Boros, Iv\'an Ivkovic, D\'avid Kov\'acs, Dalma T\'oth-Lakits, L\'aszl\'o M\'arkus, Andr\'as Luk\'acs• 2024

Related benchmarks

TaskDatasetResultRank
Hurst estimationfOU (test)
RMSE0.0319
20
Hurst estimationfBm (test)
RMSE0.0383
20
Hurst estimationrHeston (test)
RMSE0.0611
20
Hurst estimationBattery capacity proportion series
H-Estimate0.9598
7
Hölder exponent estimationhistoric realized volatility data
RMSE0.0366
5
Multiple parameters estimationfOU length 500 (test)
Average RMSE0.594
5
Multiple parameters estimationrHeston length 500 (test)
Average RMSE0.612
5
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