Extending Path-Dependent NJ-ODEs to Noisy Observations and a Dependent Observation Framework

The Path-Dependent Neural Jump Ordinary Differential Equation (PD-NJ-ODE) is a model for predicting continuous-time stochastic processes with irregular and incomplete observations. In particular, the method learns optimal forecasts given irregularly sampled time series of incomplete past observations. So far the process itself and the coordinate-wise observation times were assumed to be independent and observations were assumed to be noiseless. In this work we discuss two extensions to lift these restrictions and provide theoretical guarantees as well as empirical examples for …

continuous cs.lg cs.na differential differential equation equation framework math.na math.pr observation ordinary path process processes series stat.ml stochastic time series wise