Kernels for sequentially ordered data

zbMath1483.62144arXiv1601.08169MaRDI QIDQ4633041

Franz J. Király, Harald Oberhauser

Publication date: 2 May 2019

Full work available at URL: https://arxiv.org/abs/1601.08169

zbMATH Keywords

signaturekernelssequential dataordered momentssignature kernels

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Learning and adaptive systems in artificial intelligence (68T05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Sequential statistical analysis (62L10)

Related Items (20)

Time-warping invariants of multidimensional time series ⋮ Embedding and learning with signatures ⋮ Developing the Path Signature Methodology and Its Application to Landmark- Based Human Action Recognition ⋮ Tropical Time Series, Iterated-Sums Signatures, and Quasisymmetric Functions ⋮ Signature-Based Models: Theory and Calibration ⋮ Cubature Method for Stochastic Volterra Integral Equations ⋮ A Fubini type theorem for rough integration ⋮ Unnamed Item ⋮ Rough paths and SPDE ⋮ Weighted signature kernels ⋮ Signature asymptotics, empirical processes, and optimal transport ⋮ Signatures, Lipschitz-Free Spaces, and Paths of Persistence Diagrams ⋮ Deep signature FBSDE algorithm ⋮ Generalized iterated-sums signatures ⋮ Feature engineering with regularity structures ⋮ New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting) ⋮ A quadratic identity in the shuffle algebra and an alternative proof for de Bruijn's formula ⋮ The Signature Kernel Is the Solution of a Goursat PDE ⋮ Functional linear regression with truncated signatures ⋮ Invariants of multidimensional time series based on their iterated-integral signature

Uses Software

• UCI-ml
• NumPy

Cites Work

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• Robust filtering: correlated noise and multidimensional observation
• Parameter estimation for rough differential equations
• Uniqueness for the signature of a path of bounded variation and the reduced path group
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• On the mathematical foundations of learning
• An Overview of Sequence Comparison: Time Warps, String Edits, and Macromolecules
• Dynamic programming algorithm optimization for spoken word recognition
• 10.1162/153244302760200687

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