Time Series Determinism Recognition by LSTM Model

Janusz Miśkiewicz () and Paweł Witkowicz
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Janusz Miśkiewicz: Institute of Theoretical Physics, University of Wrocław, pl. M. Borna 6, 50-204 Wrocław, Poland
Paweł Witkowicz: Institute of Theoretical Physics, University of Wrocław, pl. M. Borna 6, 50-204 Wrocław, Poland

Mathematics, 2025, vol. 13, issue 12, 1-13

Abstract: The problem of time series determinism measurement is investigated. It is shown that a deep learning model can be used as a determinism measure of a time series. Three distinct time series classes were utilised to verify the feasibility of differentiating deterministic time series: deterministic, deterministic with noise, and stochastic. The LSTM model was constructed for each time series, and its features were thoroughly investigated. The findings of this study demonstrate a strong correlation between the root mean square error (RMSE) of the trained models and the determinism of a time series.

Keywords: time series analysis; entropy; determinism; LSTM (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2025
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