Many systems in biology, physics, and finance exhibit anomalous diffusion dynamics where the mean squared displacement grows with an exponent that deviates from one. When studying time series recording the evolution of these systems, it is crucial to precisely measure the anomalous exponent and confidently identify the mechanisms responsible for anomalous diffusion. These tasks are difficult when only few short trajectories are available, a common scenario in non-equilibrium and living systems. We show that long short-time memory (LSTM) recurrent neural networks excel at characterizing anomalous diffusion from a single short trajectory. The method we developed generalizes to experimental data obtained from subdiffusive colloids trapped in speckle light fields and superdiffusive microswimmers. We discuss the performance of the method in comparison to alternative ones in the context of the Anomalous Diffusion Challenge. In closing, we address the interpretability of the method.
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