arxivstat.MLcs.LG2026-07-01
Neural Network-Based Estimation of Time-Dependent Parameters in AR(p) Processes
Agnieszka Kopeć, Paweł Przybyłowicz, Martyna Wiącek
We investigate a forecasting framework based on a simple discrete-time dynamic model with coefficients varying in time. The parameters of the model are recovered within a deep learning framework, which makes it possible to retain a transparent parametric structure while simultane…