Computing the full signature kernel as the solution of a Goursat problem.

Thomas Cass Terry J. Lyons Cristopher Salvi Weixin Yang

Published in: CoRR (2020)

Keyphrases

optimal solution
solution quality
data sets
exact solution
linear equations
machine learning
information retrieval
special case
least squares
simulated annealing
linear combination
kernel methods
gaussian processes
kernel density estimation
signature verification