• Corpus ID: 246015685

Fractional SDE-Net: Generation of Time Series Data with Long-term Memory

  title={Fractional SDE-Net: Generation of Time Series Data with Long-term Memory},
  author={Kohei Hayashi and Kei Nakagawa},
—In this paper, we focus on the generation of time- series data using neural networks. It is often the case that input time-series data have only one realized (and usually irregularly sampled) path, which makes it difficult to extract time-series characteristics, and its noise structure is more complicated than i.i.d. type. Time series data, especially from hydrology, telecommunications, economics, and finance, exhibit long-term memory also called long-range dependency (LRD). The main purpose of… 

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