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A multi-dimensional stream and its signature representation

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arxiv 1509.03346 v1 pith:52YQRSFE submitted 2015-09-10 stat.OT

Hao Ni This is my paper · ORCID
classification stat.OT
keywords signaturestreamdatarepresentationadvantagesclassificationessentialfeature
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The signature of a path is an essential object in the theory of rough paths. The signature representation of the data stream can recover standard statistics, e.g. the moments of the data stream. The classification of random walks indicates the advantages of using the signature of a stream as the feature set for machine learning.

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Cited by 1 Pith paper

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  1. Learning stochastic differential equations using RNN with log signature features

    cs.LG 2019-08 conditional novelty 6.0 of 10

    A hybrid network that feeds coarse log-signature features into an RNN is universal for SDE solution maps and beats baseline RNNs on action and gesture recognition benchmarks.

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