Differentiable neural network layer for estimating Hurst and anomalous diffusion exponents

DOI10.1088/1751-8121/AE17F9MaRDI QIDQ6886785zbMATH OpenFDO

Authors Roman Lavrynenko, Lyudmyla Kirichenko, Nataliya Ryabova, Sophia Lavrynenko

Publication date 10 December 2025

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1088/1751-8121/AE17F9

zbMATH Keywords

AnDi 2 challengeanomalous diffusionHurst exponentsingle-particle trackingTA-MSD

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• \texttt{MFDFA}: efficient multifractal detrended fluctuation analysis in Python
• Approach to an irregular time series on the basis of the fractal theory
• Classification, inference and segmentation of anomalous diffusion with recurrent neural networks
• Encyclopedia of Complexity and Systems Science
• Gaussian semiparametric estimation of long range dependence
• Scaling behaviors in differently developed markets
• Simultaneous estimation of the parameters of the Hurst-Kolmogorov stochastic process
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Wavelet analysis of long-range-dependent traffic
• WaveNet-based deep neural networks for the characterization of anomalous diffusion (WADNet)

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