- Abstract:
- The aim of this article is to provide a simple sampling procedure to reconstruct any monotone path from its signature. For every N, we sample a lattice path of N steps with weights given by the coefficient of the corresponding word in the signature. We show that these weights on lattice paths satisfy the large deviations principle. In particular, this implies that the probability of picking up a “wrong” path is exponentially small in N. The argument relies on a probabilistic interpretation of the signature for monotone paths.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Publisher's version
- Files:
-
-
(pdf, 829.6kb)
-
- Publisher copy:
- 10.1214/17-ECP70
-
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- Publisher:
- University of Washington Publisher's website
- Journal:
- Electronic Communications in Probability Journal website
- Volume:
- 22
- Issue:
- 0
- Pages:
- 1-11
- Publication date:
- 2017-08-15
- Acceptance date:
- 2017-06-23
- DOI:
- ISSN:
-
1083-589X
- Pubs id:
-
pubs:725739
- URN:
-
uri:3a25275b-ee2f-424d-9918-a4035986bc8b
- UUID:
-
uuid:3a25275b-ee2f-424d-9918-a4035986bc8b
- Local pid:
- pubs:725739
- Keywords:
- Copyright holder:
- *Copyright holder name ("et al." as required)*
- Copyright date:
- 2017
- Notes:
- © 2017, University of Washington. All rights reserved. This article has been published under a Creative Commons Attribution License
- License:
- CC BY
Journal article
Signature inversion for monotone paths
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