Learning with signatures

DOI10.1007/978-3-030-47756-1_4MaRDI QIDQ3300622zbMATH OpenOpenAlexFDO

Authors Gérard Biau, Adeline Fermanian

Publication date 29 July 2020

Published in Functional and High-Dimensional Statistics and Related Fields (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-47756-1_4

zbMATH Keywords

rough path theorysequential learning

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Sequential estimation (62L12) Functional data analysis (62R10) Applications of rough analysis (60L90)

Recommendations

• Embedding and learning with signatures
• Algorithm 1004: the iisignature library: efficient calculation of iterated-integral signatures and log signatures
• The signature kernel is the solution of a Goursat PDE
• Learning paths from signature tensors
• Functional linear regression with truncated signatures

Cites work

• Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
• Differential equations driven by rough signals
• Integration of Paths--A Faithful Representation of Paths by Noncommutative Formal Power Series
• Multidimensional stochastic processes as rough paths. Theory and applications.
• Uniqueness for the signature of a path of bounded variation and the reduced path group

Cited in

(8)

• Developing the Path Signature Methodology and Its Application to Landmark- Based Human Action Recognition
• Algorithm 1004: the iisignature library: efficient calculation of iterated-integral signatures and log signatures
• On Signatures of Knowledge
• Embedding and learning with signatures
• Learning paths from signature tensors
• Tropical Time Series, Iterated-Sums Signatures, and Quasisymmetric Functions
• The signature kernel is the solution of a Goursat PDE
• Weighted signature kernels

Describes a project that uses

Uses Software

• GitHub
• Quick Draw Dataset

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