An input-output variant of Neural Jump ODEs is proven to converge to the L2-optimal conditional expectation for online filtering and classification with irregularly sampled, partially observed data.
On the characterization of compactness in the space of functions of bounded variation in the sense of Jordan
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Nonparametric Filtering, Estimation and Classification using Neural Jump ODEs
An input-output variant of Neural Jump ODEs is proven to converge to the L2-optimal conditional expectation for online filtering and classification with irregularly sampled, partially observed data.