The Signature Kernel
Probability
2023-05-09 v1 Machine Learning
Machine Learning
Abstract
The signature kernel is a positive definite kernel for sequential data. It inherits theoretical guarantees from stochastic analysis, has efficient algorithms for computation, and shows strong empirical performance. In this short survey paper for a forthcoming Springer handbook, we give an elementary introduction to the signature kernel and highlight these theoretical and computational properties.
Keywords
Cite
@article{arxiv.2305.04625,
title = {The Signature Kernel},
author = {Darrick Lee and Harald Oberhauser},
journal= {arXiv preprint arXiv:2305.04625},
year = {2023}
}
Comments
31 pages, 2 figures