Deep Signature Transforms

[elmigue]

Paper title

Deep Signature Transforms

Author(s)

Bonnier, Patric; Kidger, Patrick; Perez Arribas, Imanol; Salvi, Cristopher; Lyons, Terry

Link to PDF

https://arxiv.org/pdf/1905.08494.pdf

Publication venue (if applicable)

NeurIPS2019

Reason for interest (optional)

Any ML model, in principle, can be thought of either an expectation or a multiple stochastic integral under some random measure. There is some deep (no pun intended) mathematics lurking behind such an approach, and it's good to see that this connection is starting to be made and publicised.