An interarrival embedding makes signature methods work on TPPs, yielding SIGTPP trained on whole trajectories plus three pathwise distributional evaluation metrics.
Characteristic Functions of Measures on Geometric Rough Paths.The Annals of Probability, 44(6):4049–4082, 2016
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From Jumps to Signatures: a Generative Method for Temporal Point Processes
An interarrival embedding makes signature methods work on TPPs, yielding SIGTPP trained on whole trajectories plus three pathwise distributional evaluation metrics.