Related papers: Signature moments to characterize laws of stochast…

The sequence of so-called signature moments describes the laws of many stochastic processes in analogy with how the sequence of moments describes the laws of vector-valued random variables. However, even for vector-valued random variables,…

Anomaly detection is the process of identifying abnormal instances or events in data sets which deviate from the norm significantly. In this study, we propose a signatures based machine learning algorithm to detect rare or unexpected items…

Motivated by insurance applications, we propose a new approach for the validation of real-world economic scenarios. This approach is based on the statistical test developed by Chevyrev and Oberhauser (2022) and relies on the notions of…

Many finance, physics, and engineering phenomena are modeled by continuous-time dynamical systems driven by highly irregular (stochastic) inputs. A powerful tool to perform time series analysis in this context is rooted in rough path theory…

We define a characteristic function for probability measures on the signatures of geometric rough paths. We determine sufficient conditions under which a random variable is uniquely determined by its expected signature, thus partially…

We present a novel framework for kernel learning with sequential data of any kind, such as time series, sequences of graphs, or strings. Our approach is based on signature features which can be seen as an ordered variant of sample…

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 interface between stochastic analysis and machine learning is a rapidly evolving field, with path signatures - iterated integrals that provide faithful, hierarchical representations of paths - offering a principled and universal feature…

In this paper, we present an algorithm that computes the topological signature for a given periodic motion sequence. Such signature consists of a vector obtained by persistent homology which captures the topological and geometric changes of…

Tensor algebras give rise to one of the most powerful measures of similarity for sequences of arbitrary length called the signature kernel accompanied with attractive theoretical guarantees from stochastic analysis. Previous algorithms to…

Sequential and temporal data arise in many fields of research, such as quantitative finance, medicine, or computer vision. A novel approach for sequential learning, called the signature method and rooted in rough path theory, is considered.…

Signature-based techniques give mathematical insight into the interactions between complex streams of evolving data. These insights can be quite naturally translated into numerical approaches to understanding streamed data, and perhaps…

Point processes and, more generally, random measures are ubiquitous in modern statistics. However, they can only take positive values, which is a severe limitation in many situations. In this work, we introduce and study random signed…

We study the temporal robustness of stochastic signals. This topic is of particular interest in interleaving processes such as multi-agent systems where communication and individual agents induce timing uncertainty. For a deterministic…

We introduce for the first time a neural-certificate framework for continuous-time stochastic dynamical systems. Autonomous learning systems in the physical world demand continuous-time reasoning, yet existing learnable certificates for…

A cornerstone of human statistical learning is the ability to extract temporal regularities / patterns from random sequences. Here we present a method of computing pattern time statistics with generating functions for first-order Markov…

We present a framework to interpret signal temporal logic (STL) formulas over discrete-time stochastic processes in terms of the induced risk. Each realization of a stochastic process either satisfies or violates an STL formula. In fact, we…

The expected signature kernel arises in statistical learning tasks as a similarity measure of probability measures on path space. Computing this kernel for known classes of stochastic processes is an important problem that, in particular,…

We develop a Bayesian approach to learning from sequential data by using Gaussian processes (GPs) with so-called signature kernels as covariance functions. This allows to make sequences of different length comparable and to rely on strong…

Model-based prediction of stochastic noise in biomolecular reactions often resorts to approximation with unknown precision. As a result, unexpected stochastic fluctuation causes a headache for the designers of biomolecular circuits. This…