Signature moments to characterize laws of stochastic processes
The sequence of moments of a vector-valued random variable can characterize its law. We study the analogous problem for path-valued random variables, that is stochastic processes, by using so-called robust signature moments. This allows us to derive a metric of maximum mean discrepancy type for laws...
| Váldodahkkit: | , |
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| Materiálatiipa: | Journal article |
| Giella: | English |
| Almmustuhtton: |
Journal of Machine Learning Research
2022
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