Model identification for ARMA time series through convolutional neural networks

Wai Hoh Tang; Adrian Röllin

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arXiv · 1804.04299

Model identification for ARMA time series through convolutional neural networks

Wai Hoh Tang·Adrian Röllin

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Abstract

In this paper, we use convolutional neural networks to address the problem of model identification for autoregressive moving average time series models. We compare the performance of several neural network architectures, trained on simulated time series, with likelihood based methods, in particular the Akaike and Bayesian information criteria. We find that our neural networks can significantly outperform these likelihood based methods in terms of accuracy and, by orders of magnitude, in terms of speed.

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Wai Hoh Tang, Adrian Röllin. 2020-07-19. Model identification for ARMA time series through convolutional neural networks. https://arxiv.org/abs/1804.04299

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