A high order solver for signature kernels
Signature kernels are at the core of several machine learning algorithms for analysing multivariate time series. The kernel of two bounded variation paths (such as piecewise linear interpolations of time series data) is typically computed by solving a Goursat problem for a hyperbolic partial differe...
| Main Authors: | , |
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| Format: | Internet publication |
| Language: | English |
| Published: |
2024
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