Vasileios Lampos

From Jumps to Signatures: a Generative Method for Temporal Point Processes

Niels Cariou-Kotlarek, Vasileios Lampos

Rough path signatures are a universal feature map for continuous paths and, via the expected signature, characterise path distributions. These guarantees do not directly extend to cadlag paths of Temporal Point Processes (TPPs), limiting the use of signature methods for event seq…Read more