Fractional SDE-Net: Generation of Time Series Data with Long-term Memory. (arXiv:2201.05974v2 [cs.LG] UPDATED)

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 this paper is to
artificially generate time series …

arxiv data generation lg long-term memory series time time series