Journal article
The Signature Kernel is the solution of a Goursat PDE
- Abstract:
-
Recently, there has been an increased interest in the development of kernel methods for learning with sequential data. The signature kernel is a learning tool with potential to handle irregularly sampled, multivariate time series. In "Kernels for sequentially ordered data" the authors introduced a kernel trick for the truncated version of this kernel avoiding the exponential complexity that would have been involved in a direct computation. Here we show that for continuously differentiable pat...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Authors
Bibliographic Details
- Publisher:
- Society for Industrial and Applied Mathematics Publisher's website
- Journal:
- SIAM Journal on Mathematics of Data Science Journal website
- Volume:
- 3
- Issue:
- 3
- Pages:
- 873–899
- Publication date:
- 2021-09-09
- Acceptance date:
- 2021-06-03
- DOI:
- EISSN:
-
2577-0187
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
1119380
- Local pid:
- pubs:1119380
- Deposit date:
- 2021-06-18
Terms of use
- Copyright holder:
- Society for Industrial and Applied Mathematics
- Copyright date:
- 2021
- Rights statement:
- © 2021 Society for Industrial and Applied Mathematics
- Notes:
- This is the accepted manuscript version of the article. The final version is avialable online from Society for Industrial and Applied Mathematics at: https://doi.org/10.1137/20M1366794
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