Signature-induced optimal transport bounds robust expectations and tail probabilities of affine signature scores by a single effective budget κ = Σ|ℓ_I|δ_I, and uses that budget to fit sparse signature surrogates.
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Path-Space Model Risk via Signature-Induced Optimal Transport
Signature-induced optimal transport bounds robust expectations and tail probabilities of affine signature scores by a single effective budget κ = Σ|ℓ_I|δ_I, and uses that budget to fit sparse signature surrogates.