Signature cumulants, ordered partitions, and independence of stochastic processes
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Publication:2203621
DOI10.3150/20-BEJ1205zbMath1469.60364arXiv1908.06496MaRDI QIDQ2203621
Harald Oberhauser, Patric Bonnier
Publication date: 7 October 2020
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1908.06496
Markov processes: estimation; hidden Markov models (62M05) Rough paths (60L20) Signatures and data streams (60L10)
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Nonlinear independent component analysis for discrete-time and continuous-time signals ⋮ Unified signature cumulants and generalized Magnus expansions
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