Inverting the signature of a path
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Abstract: The aim of this article is to develop an explicit procedure that enables one to reconstruct any path (at natural parametrization) from its signature. We also explicitly quantify the distance between the reconstructed path and the original path in terms of the number of terms in the signature that are used for the construction and the modulus of continuity of the derivative of the path. A key ingredient in the construction is the use of a procedure of symmetrization that separates the behavior of the path at small and large scales.
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Cited in
(14)- Embedding and learning with signatures
- Signature asymptotics, empirical processes, and optimal transport
- The uniqueness of signature problem in the non-Markov setting
- Varieties of signature tensors
- On the Complexity of Isomorphism Problems for Tensors, Groups, and Polynomials I: Tensor Isomorphism-Completeness
- Reconstruction for the signature of a rough path
- \(\mathrm{SL}_2 (\mathbb{R})\)-developments and signature asymptotics for planar paths with bounded variation
- Signature inversion for monotone paths
- Learning paths from signature tensors
- The accessibility problem for geometric rough differential equations
- Iterated integrals and population time series analysis
- Path developments and tail asymptotics of signature for pure rough paths
- Tail asymptotics of the Brownian signature
- Hyperbolic development and inversion of signature
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