lrdbenchmark 2.4.0

Comprehensive Long-Range Dependence Benchmarking Framework with 20 Estimators (13 Classical, 3 ML, 4 Neural Networks) + 5 Demonstration Notebooks

lrdbenchmark

Modern, reproducible benchmarking for long-range dependence (LRD) estimation across classical statistics, machine learning, and neural approaches.

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Why lrdbenchmark?

• One interface, twenty estimators – 13 classical, 3 machine learning, and 4 neural estimators share a unified API with consistent metadata.
• Deterministic by construction – global RNG coordination, stratified summaries, significance testing, and provenance capture are built in.
• Runtime profiles – choose quick for smoke tests or CI, or full for exhaustive diagnostics, bootstraps, and robustness panels.
• Production-aware workflows – supports CPU-only deployments by default with optional JAX/Numba/Torch acceleration.
• Documentation-first tutorials – the tutorial series now ships directly in docs/tutorials/, mirrored by lightweight Markdown notebooks for interactive sessions.

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Getting Started

Installation

pip install lrdbenchmark

Acceleration backends (JAX, Numba, PyTorch) are optional and auto-detected at runtime. The library falls back to NumPy when accelerators are unavailable. Install accelerators only if you need them:

pip install lrdbenchmark[accel-jax]      # JAX for GPU/TPU
pip install lrdbenchmark[accel-numba]    # Numba JIT compilation
pip install lrdbenchmark[accel-pytorch]  # PyTorch for neural estimators
pip install lrdbenchmark[accel-all]      # All accelerators

Pretrained models

Large pretrained estimators (joblib/pth files) live in a separate download channel to keep the repository lightweight. Fetch them with checksum verification whenever you need deterministic ML/NN baselines:

python tools/fetch_pretrained_models.py          # download every published artifact
python tools/fetch_pretrained_models.py --list   # inspect available keys
python tools/fetch_pretrained_models.py --models random_forest_estimator svr_estimator

By default the artefacts are cached under ~/.cache/lrdbenchmark/models. Override the location with LRDBENCHMARK_MODELS_DIR=/path/to/artifacts if you need a project-local cache (e.g., artifacts/models/ inside the repo, which is Git-ignored).

Supported environments

• Python 3.10–3.12 across Linux, macOS, and Windows (covered in CI).
• NumPy 2.x is the preferred runtime and receives full testing; NumPy 1.26.x remains available for legacy stacks but only receives best-effort support.
• GPU/acceleration extras require the latest compatible backends (JAX ≥ 0.4.28, PyTorch ≥ 2.2, Numba ≥ 0.60) to ensure Python 3.12 and NumPy 2 compatibility.

Runtime configuration

• CPU guard: the package defaults to safe CPU-only settings to avoid noisy CUDA warnings. Override by setting LRDBENCHMARK_AUTO_CPU=0 before importing to opt into your own CUDA configuration.
• Asset cache: set LRDBENCHMARK_MODELS_DIR=/path/to/cache if you want pretrained weights downloaded into a custom directory (default is ~/.cache/lrdbenchmark/models).

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Command-Line Benchmarks

Run classical estimator failure analysis from the CLI:

# Quick screening (~5 min) - 3 H values, 2 lengths, 10 realizations
python scripts/benchmarks/run_classical_failure_benchmark.py --profile quick

# Standard analysis (~1 hour) - 7 H values, 3 lengths, 100 realizations
python scripts/benchmarks/run_classical_failure_benchmark.py --profile standard

# Full publication run (~8-10 hours) - 17 H values, 7 lengths, 500 realizations
python scripts/benchmarks/run_classical_failure_benchmark.py --profile full

CLI Options

Option	Default	Description
--profile	standard	quick, standard, or full
--output	auto	Custom output directory
--seed	42	Random seed for reproducibility
--realizations	per-profile	Override realization count
--checkpoint-every	100	Checkpoint frequency
--no-resume	false	Start fresh, ignore checkpoints
--dry-run	false	Show config without running

Example Workflows

# Dry-run to see configuration
python scripts/benchmarks/run_classical_failure_benchmark.py --dry-run --profile full

# Custom output and more realizations
python scripts/benchmarks/run_classical_failure_benchmark.py --profile standard \
    --output results/my_experiment --realizations 200

# Resume interrupted run (automatic)
python scripts/benchmarks/run_classical_failure_benchmark.py --profile full

Results are saved as results.csv, summary.json, and config.json in the output directory.

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First Benchmark (Python API)

from lrdbenchmark import ComprehensiveBenchmark

# Quick profile skips heavy diagnostics – perfect for tests and CI
benchmark = ComprehensiveBenchmark(runtime_profile="quick")
summary = benchmark.run_comprehensive_benchmark(
    data_length=256,
    benchmark_type="classical",
    save_results=False,
)

print(summary["random_state"])
print(summary["stratified_metrics"]["hurst_bands"])

Want the full analysis (bootstrap confidence intervals, robustness panels, influence diagnostics)? Simply drop the profile override:

benchmark = ComprehensiveBenchmark()   # runtime_profile defaults to "auto"/"full"

Runtime Profiles at a Glance

Profile	How to enable	Designed for	What is disabled
quick	ComprehensiveBenchmark(runtime_profile="quick") or export LRDBENCHMARK_RUNTIME_PROFILE=quick	Unit tests, CI, exploratory work	Advanced metrics, bootstraps, robustness panels, heavy diagnostics
full	Default when running outside pytest/quick mode	End-to-end studies, publications	Nothing – full diagnostics and provenance

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Core Capabilities

• Estimator families – temporal (R/S, DFA, DMA, GHE, Higuchi), spectral (Periodogram, GPH, Whittle), wavelet (CWT, variance, log-variance, wavelet Whittle), multifractal (MFDFA, wavelet leaders), machine-learning (Random Forest, SVR, Gradient Boosting), and neural (CNN, LSTM, GRU, Transformer).
• Robust benchmarking – contamination models, adaptive preprocessing, stratified reporting, non-parametric significance tests, and provenance bundles per result.
• Nonstationarity testing – time-varying H generators (regime switching, continuous drift, structural breaks), critical regime models (OU, fractional Lévy, SOC), and structural break detection (CUSUM, Chow test, ICSS).
• Surrogate data testing – IAAFT, phase randomization, and AR surrogates for hypothesis testing of LRD and nonlinearity.
• Analytics tooling – convergence analysis, bias estimation, stress panels, uncertainty calibration (including studentized bootstrap with coverage analysis), scale influence diagnostics.
• GPU-aware execution – intelligent fallbacks (JAX ▶ Numba ▶ NumPy) with automatic CPU mode unless the user explicitly opts into GPU acceleration.
• Containerized experiments – Docker support for reproducible cloud/HPC benchmarking.

For the full catalogue see the API reference.

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Documentation & Learning Path

• Full documentation: https://lrdbenchmark.readthedocs.io/
• Tutorial sequence: docs/tutorials/ (rendered on Read the Docs, aligned with the original notebook curriculum)
• Interactive notebooks: Markdown sources in notebooks/markdown/, easily opened via Jupytext or any Markdown-friendly notebook environment
• Examples & scripts: runnable patterns in examples/ and scripts/

Working with the Markdown notebooks

pip install jupytext
jupytext --to notebook notebooks/markdown/02_estimation_and_validation.md
jupyter notebook notebooks/markdown/

This keeps the repository light while preserving the original interactive walkthroughs.

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Project Layout

lrdbenchmark/
├── lrdbenchmark/            # Package modules
│   ├── analysis/            # Estimators, benchmarking, diagnostics
│   ├── analytics/           # Provenance, reporting, dashboards
│   ├── models/              # Data generators & contamination models
│   └── robustness/          # Adaptive preprocessing & stress tests
├── artifacts/               # (Ignored) downloaded pretrained weights
├── docs/                    # Sphinx documentation & tutorials
├── notebooks/               # Markdown notebooks + supporting artefacts
├── examples/                # Minimal usage examples
├── scripts/                 # Reproducible benchmarking pipelines
└── tests/                   # Pytest suite (quick profile by default)

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Testing

python -m pytest                       # quick profile exercises
python -m pytest --cov=lrdbenchmark    # add coverage

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Contributing

We welcome improvements to estimators, diagnostics, documentation, and tutorials.

1. Fork the repository
2. Create a feature branch: git checkout -b feature/improvement
3. Run the test suite (see above)
4. Submit a pull request describing the change and relevant use-cases

Please consult CONTRIBUTING.md for coding standards and review expectations.

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Citation

@software{chin2024lrdbenchmark,
  author  = {Chin, Davian R.},
  title   = {lrdbenchmark: A Comprehensive Framework for Long-Range Dependence Estimation},
  version = {2.3.2},
  year    = {2025},
  doi     = {10.5281/zenodo.17535020},
  url     = {https://github.com/dave2k77/lrdbenchmark}
}

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Licence & Support

• Licence: MIT (see LICENSE)
• Issues & feature requests: https://github.com/dave2k77/lrdbenchmark/issues
• Discussions: https://github.com/dave2k77/lrdbenchmark/discussions
• Documentation: https://lrdbenchmark.readthedocs.io/

Made with care for the time-series community. If you publish results using lrdbenchmark, please share them – the benchmarking suite evolves with real-world feedback.