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Signature moments to characterize laws of stochastic processes

25 October 2018

Papers citing "Signature moments to characterize laws of stochastic processes"

43 / 43 papers shown

Title
Tensor-to-Tensor Models with Fast Iterated Sum Features Joscha Diehl Rasheed Ibraheem Leonard Schmitz Yue Wu 70 0 0 06 Jun 2025
Scalable Signature Kernel Computations for Long Time Series via Local Neumann Series Expansions Matthew Tamayo-Rios Alexander Schell Rima Alaifari AI4TS 94 0 0 27 Feb 2025
$A User's Guide to $\texttt{KSig}$: GPU-Accelerated Computation of the Signature Kernel$ A User's Guide to $\texttt{KSig}$ : GPU-Accelerated Computation of the Signature Kernel Csaba Tóth Danilo Jr Dela Cruz Harald Oberhauser 80 0 0 13 Jan 2025
Time-Causal VAE: Robust Financial Time Series Generator Beatrice Acciaio Stephan Eckstein Songyan Hou AI4TS 99 2 0 05 Nov 2024
High Rank Path Development: an approach of learning the filtration of stochastic processes Jiajie Tao Hao Ni Chong Liu 61 1 0 23 May 2024
Exact Gradients for Stochastic Spiking Neural Networks Driven by Rough Signals Christian Holberg C. Salvi 75 3 0 22 May 2024
Signature Isolation Forest Guillaume Staerman M. Campi Gareth W. Peters Tomoko Matsui 508 0 0 07 Mar 2024
Signature Kernel Conditional Independence Tests in Causal Discovery for Stochastic Processes Georg Manten Cecilia Casolo E. Ferrucci Søren Wengel Mogensen C. Salvi Niki Kilbertus CML BDL 250 12 0 28 Feb 2024
Novelty Detection on Radio Astronomy Data using Signatures Paola Arrubarrena M. Lemercier Bojan Nikolic Terry Lyons Thomas Cass 88 5 0 22 Feb 2024
Transportation Marketplace Rate Forecast Using Signature Transform Haotian Gu Xin Guo Timothy L. Jacobs Philip M. Kaminsky Xinyu Li AI4TS 50 0 0 10 Jan 2024
Gaussian processes based data augmentation and expected signature for time series classification Marco Romito Francesco Triggiano AI4TS 130 0 0 16 Oct 2023
Generating drawdown-realistic financial price paths using path signatures Emiel Lemahieu Kris Boudt Maarten Wyns 55 1 0 08 Sep 2023
Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures Zacharia Issa Blanka Horvath 97 4 0 27 Jun 2023
Global universal approximation of functional input maps on weighted spaces Christa Cuchiero Philipp Schmocker Josef Teichmann 100 22 0 05 Jun 2023
PCF-GAN: generating sequential data via the characteristic function of measures on the path space Hang Lou Siran Li Hao Ni AI4TS 77 11 0 21 May 2023
The Signature Kernel Darrick Lee Harald Oberhauser 411 11 0 08 May 2023
Directed Chain Generative Adversarial Networks Ming Min Ruimeng Hu Tomoyuki Ichiba AI4TS AI4CE GAN 81 1 0 25 Apr 2023
G-Signatures: Global Graph Propagation With Randomized Signatures Bernhard Schafl Lukas Gruber Johannes Brandstetter Sepp Hochreiter 164 2 0 17 Feb 2023
New directions in the applications of rough path theory Adeline Fermanian Terry Lyons James Morrill C. Salvi 161 16 0 09 Feb 2023
Kernelized Cumulants: Beyond Kernel Mean Embeddings Patric Bonnier Harald Oberhauser Zoltan Szabo 93 6 0 29 Jan 2023
Signature-based validation of real-world economic scenarios Hervé Andrès Alexandre Boumezoued B. Jourdain 160 6 0 02 Aug 2022
A Fourier representation of kernel Stein discrepancy with application to Goodness-of-Fit tests for measures on infinite dimensional Hilbert spaces George Wynne Mikolaj Kasprzak Andrew B. Duncan 117 4 0 09 Jun 2022
Capturing Graphs with Hypo-Elliptic Diffusions Csaba Tóth Darrick Lee Celia Hacker Harald Oberhauser 94 13 0 27 May 2022
Learning the conditional law: signatures and conditional GANs in filtering and prediction of diffusion processes Fabian Germ Marc Sabate Vidales DiffM 169 0 0 01 Apr 2022
Proper Scoring Rules, Gradients, Divergences, and Entropies for Paths and Time Series Patric Bonnier Harald Oberhauser AI4TS 64 4 0 11 Nov 2021
Sig-Wasserstein GANs for Time Series Generation Hao Ni Lukasz Szpruch Marc Sabate Vidales Baoren Xiao Magnus Wiese Shujian Liao SyDa AI4TS 91 77 0 01 Nov 2021
Higher Order Kernel Mean Embeddings to Capture Filtrations of Stochastic Processes C. Salvi M. Lemercier Chong Liu Blanka Hovarth Theodoros Damoulas Terry Lyons 110 33 0 08 Sep 2021
Deep Signature FBSDE Algorithm Qiaochu Feng Man Luo Zhao-qin Zhang 50 8 0 24 Aug 2021
Feature Engineering with Regularity Structures I. Chevyrev A. Gerasimovičs H. Weber 157 11 0 12 Aug 2021
Approximate Bayesian Computation with Path Signatures Joel Dyer Patrick W Cannon Sebastian M. Schmon 115 16 0 23 Jun 2021
Signatured Deep Fictitious Play for Mean Field Games with Common Noise Ming Min Ruimeng Hu 73 28 0 06 Jun 2021
Statistical Depth Meets Machine Learning: Kernel Mean Embeddings and Depth in Functional Data Analysis George Wynne Stanislav Nagy 103 6 0 26 May 2021
SK-Tree: a systematic malware detection algorithm on streaming trees via the signature kernel Thomas Cochrane Peter Foster Varun Chhabra M. Lemercier C. Salvi Terry Lyons 98 26 0 16 Feb 2021
An efficient representation of chronological events in medical texts Andrey Kormilitzin N. Vaci Qiang Liu Hao Ni Goran Nenadic A. Nevado-Holgado 71 2 0 16 Oct 2020
A Kernel Two-Sample Test for Functional Data George Wynne Andrew B. Duncan 99 45 0 25 Aug 2020
Path Signatures on Lie Groups Darrick Lee Robert Ghrist 80 8 0 02 Jul 2020
The Signature Kernel is the solution of a Goursat PDE C. Salvi Thomas Cass James Foster Terry Lyons Weixin Yang SyDa 426 59 0 26 Jun 2020
A Data-driven Market Simulator for Small Data Environments Hans Bühler Blanka Horvath Terry Lyons Imanol Perez Arribas Ben Wood 90 67 0 21 Jun 2020
Conditional Sig-Wasserstein GANs for Time Series Generation Shujian Liao Hao Ni Lukasz Szpruch Magnus Wiese Marc Sabate Vidales Baoren Xiao GAN AI4TS 60 0 0 09 Jun 2020
Neural Controlled Differential Equations for Irregular Time Series Patrick Kidger James Morrill James Foster Terry Lyons AI4TS 138 483 0 18 May 2020
Embedding and learning with signatures Adeline Fermanian 444 64 0 29 Nov 2019
Persistence paths and signature features in topological data analysis I. Chevyrev Vidit Nanda Harald Oberhauser 87 69 0 01 Jun 2018
A Primer on the Signature Method in Machine Learning I. Chevyrev Andrey Kormilitzin 513 218 0 11 Mar 2016