The Signature Kernel

Code

• github.com/crispitagorico/sigkernel
  OfficialIn paperpytorch★ 61
• github.com/tgcsaba/ksig
  OfficialIn papertf★ 51

Abstract

The signature kernel is a positive definite kernel for sequential data. It inherits theoretical guarantees from stochastic analysis, has efficient algorithms for computation, and shows strong empirical performance. In this short survey paper for a forthcoming Springer handbook, we give an elementary introduction to the signature kernel and highlight these theoretical and computational properties.

Tasks

Reproductions