Predicting the Long-Term Dependencies in Time Series Using Recurrent Artificial Neural Networks

Long-term dependence is an essential feature for the predictability of time series. Estimating the parameter that describes long memory is essential to describing the behavior of time series models. However, most long memory estimation methods assume that this parameter has a constant value througho...

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Bibliographic Details

Published in:	Machine Learning and Knowledge Extraction
Main Authors:	Cristian Ubal, Gustavo Di-Giorgi, Javier E. Contreras-Reyes, Rodrigo Salas
Format:	Article
Language:	English
Published:	MDPI AG 2023-10-01
Subjects:	long-term dependency Hurst exponent fractional differentiation recurrent neural networks
Online Access:	https://www.mdpi.com/2504-4990/5/4/68