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A Comparison of Traditional and Deep Learning Methods for Parameter Estimation of the Ornstein-Uhlenbeck Process
April 22, 2024, 4:43 a.m. | Jacob Fein-Ashley
cs.LG updates on arXiv.org arxiv.org
Abstract: We consider the Ornstein-Uhlenbeck (OU) process, a stochastic process widely used in finance, physics, and biology. Parameter estimation of the OU process is a challenging problem. Thus, we review traditional tracking methods and compare them with novel applications of deep learning to estimate the parameters of the OU process. We use a multi-layer perceptron to estimate the parameters of the OU process and compare its performance with traditional parameter estimation methods, such as the Kalman …
abstract applications arxiv biology comparison cs.lg deep learning finance novel physics process q-fin.cp review stochastic stochastic process them tracking type
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