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A multi-dimensional stream and its signature representation

Other Statistics 2015-09-14 v1
Authors: Hao Ni
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Abstract

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 advantages of using the signature of a stream as the feature set for machine learning.

Keywords

statistical data analysis

Cite

@article{arxiv.1509.03346,
  title  = {A multi-dimensional stream and its signature representation},
  author = {Hao Ni},
  journal= {arXiv preprint arXiv:1509.03346},
  year   = {2015}
}

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