Wen Su

How Fast Do Signatures Learn? Statistical Theory and Applications for Path Regression

Blanka Horvath, Wen Su, Wu Su, Binnan Wang, Ruixun Zhang

Many prediction and decision-making problems in operations research involve path-valued covariates -- data that evolve over time -- for which path signatures have become a canonical feature representation. Their use is justified by a universal approximation theorem, but this is a…Read more