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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2505.03980 |
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| _version_ | 1866917247294898176 |
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| author | Sankoh, Aroon Wickerhauser, Victor |
| author_facet | Sankoh, Aroon Wickerhauser, Victor |
| contents | Stochastic differential equations such as the Ornstein-Uhlenbeck process have long been used to model realworld probablistic events such as stock prices and temperature fluctuations. While statistical methods such as Maximum Likelihood Estimation (MLE), Kalman Filtering, Inverse Variable Method, and more have historically been used to estimate the parameters of stochastic differential equations, the recent explosion of deep learning technology suggests that models such as a Recurrent Neural Network (RNN) could produce more precise estimators. We present a series of experiments that compare the estimation accuracy and computational expensiveness of a statistical method (MLE) with a deep learning model (RNN) for the parameters of the Ornstein-Uhlenbeck process. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2505_03980 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Comparing statistical and deep learning techniques for parameter estimation of continuous-time stochastic differentiable equations Sankoh, Aroon Wickerhauser, Victor Machine Learning Probability Stochastic differential equations such as the Ornstein-Uhlenbeck process have long been used to model realworld probablistic events such as stock prices and temperature fluctuations. While statistical methods such as Maximum Likelihood Estimation (MLE), Kalman Filtering, Inverse Variable Method, and more have historically been used to estimate the parameters of stochastic differential equations, the recent explosion of deep learning technology suggests that models such as a Recurrent Neural Network (RNN) could produce more precise estimators. We present a series of experiments that compare the estimation accuracy and computational expensiveness of a statistical method (MLE) with a deep learning model (RNN) for the parameters of the Ornstein-Uhlenbeck process. |
| title | Comparing statistical and deep learning techniques for parameter estimation of continuous-time stochastic differentiable equations |
| topic | Machine Learning Probability |
| url | https://arxiv.org/abs/2505.03980 |