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随机傅里叶签名特征AI 解读

Tensor algebras give rise to one of the most powerful measures of similarity for sequences of arbitrary length called the signature kernel accompanied with attractive theoretical guarantees from stochastic analysis. Previous algorithms to compute the signature kernel scale quadratically in terms of the length and the number of the sequences. To mitigate this severe computational bottleneck, we develop a random Fourier feature-based acceleration of the signature kernel acting…

路径与时间序列的适当评分规则、梯度、散度和熵AI 解读

Many forecasts consist not of point predictions but concern the evolution of quantities. For example, a central bank might predict the interest rates during the next quarter, an epidemiologist might predict trajectories of infection rates, a clinician might predict the behaviour of medical markers over the next day, etc. The situation is further complicated since these forecasts sometimes only concern the approximate "shape of the future evolution" or "order of events".…