A High Order Solver for Signature Kernels

arXiv:2404.02926v1 Announce Type: new
Abstract: Signature kernels are at the core of several machine learning algorithms for analysing multivariate time series. The kernel of two bounded variation paths (such as piecewise linear interpolations of time series data) is typically computed by solving a Goursat problem for a hyperbolic partial differential equation (PDE) in two independent time variables. However, this approach becomes considerably less practical for highly oscillatory input paths, as they have to be resolved at a fine enough scale …

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